Autoregressive model fitting for multichannel time series of degenerate rank: Limit properties

DOI10.1109/TCS.1985.1085698zbMath0574.62089OpenAlexW2149745951MaRDI QIDQ3692668

Yujiro Inouye

Publication date: 1985

Published in: IEEE Transactions on Circuits and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tcs.1985.1085698

zbMATH Keywords

Wold decompositionautoregressive approximationautoregressive model fittingasymptotically constant rankintegrated power spectramultichannel time series of degenerate rankregular multidimensional discrete stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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