Stable spectral factorization with applications to the estimation of time series models

DOI10.1080/03610929308831024zbMath0784.62082OpenAlexW2092165867MaRDI QIDQ4275154

D. S. Poskitt, M. O. Salau

Publication date: 23 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831024

zbMATH Keywords

reflectionunit circleHermitian matrixHermite normal formtime series modelsunimodular matrixsystem estimationARMA-modelsextended unitary matrixinvertible spectral factorminiphasestability of a polynomial operatortesting for stabilityunstable full rank polynomial matrix

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Probabilistic methods, stochastic differential equations (65C99)

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On the numerical implementation of the generalized least squares procedure for arma estimation ⋮ ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS ⋮ Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models ⋮ Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting ⋮ A numerical method for factorizing the rational spectral density matrix ⋮ On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models

Cites Work

• Diagnostic tests for multiple time series models
• Linear multivariable systems
• Multivariate linear time series models
• Asymptotic properties of time domain gaussian estimators
• The Factorization of Matricial Spectral Densities
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