On the stationarity of multiple autoregressive approximants: theory and algorithms

DOI10.1080/00949658108810496zbMath0478.62076OpenAlexW2063655724MaRDI QIDQ3936068

Marcello Pagano, H. Joseph Newton

Publication date: 1981

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658108810496

zbMATH Keywords

predictioncovariancefitting time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stochastic stability in control theory (93E15) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• Autoregressive model fitting for control
• The effect of transformations of variables upon their correlation coefficients
• Some recent advances in time series modeling
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Time Series Regression with Linear Constraints
• When is an altoregressive scheme stationary

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