Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices

DOI10.1017/S0334270000006998zbMath0748.60036OpenAlexW2091268415MaRDI QIDQ4007765

N. M. Spencer, V. V. Anh

Publication date: 27 September 1992

Published in: The Journal of the Australian Mathematical Society. Series B. Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0334270000006998

zbMATH Keywords

prediction problemmultivariate ARMA processestime-dependent rational spectral density

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

This page was built for publication: Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices