Generation Of Time Series Models With Given Spectral Properties

DOI10.1111/J.1467-9892.2009.00617.XzbMath1224.62048OpenAlexW1975413004MaRDI QIDQ92277

Georgi N. Boshnakov, Bisher M. Iqelan, Georgi N. Boshnakov, Bisher M. Iqelan

Publication date: May 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00617.x

zbMATH Keywords

ARIMA modelmulti-companion matrixperiodically stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Factorization of matrices (15A23) Inference from stochastic processes and spectral analysis (62M15) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (4)

On the usefulness of cross-validation for directional forecast evaluation ⋮ mcompanion ⋮ pcts ⋮ Unnamed Item

Uses Software

• partsm

Cites Work

• Multi-companion matrices
• Using Periodic Autoregressions for Multiple Spectral Estimation
• Unnamed Item
• Unnamed Item

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