Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem

DOI10.2307/1427242zbMath0597.62096OpenAlexW2092071423MaRDI QIDQ3730890

Marc Hallin

Publication date: 1986

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427242

zbMATH Keywords

spectral factorizationinvertibilityforecastingseriesasymptotically efficientforecastsmatrix difference equationsadjoint operatorsmoving-average processWold-Cramér decompositiondominated solutionsGreen's matricesborderline non- invertible modelsGranger-Andersen invertibilitymatrix generalization of continued fractionsnon-stationary timetime-varying moving-average models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Additive difference equations (39A10)

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Uses Software

• AS 197

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