Spectral factorization of nonstationary moving average processes

DOI10.1214/aos/1176346400zbMath0538.62076OpenAlexW1995260383MaRDI QIDQ793482

Marc Hallin

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346400

zbMATH Keywords

time-dependent coefficientsmoving average modelscomplete and unified solutionmatrix extension of ordinary continued fractionsnonstationary multivariate MA spectral factorization problem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12)

Related Items (9)

Random continued fractions and inverse Gaussian distribution on a symmetric cone ⋮ State estimation for a class of singular systems ⋮ ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS ⋮ On the prediction of multivariate arma processes with a time dependent covariance structure ⋮ On some classes of nonstationary parametric processes ⋮ Model-building problem of periodically correlated \(m\)-variate moving average processes ⋮ CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY ⋮ A test for second order stationarity of a multivariate time series ⋮ Periodic autoregressive conditional duration

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