The asymptotic covariance matrix of the multivariate serial correlations
type: Item
instance of: scholarly article
title: The asymptotic covariance matrix of the multivariate serial correlations
zbMATH Open document ID: 0889.60014
DOI: 10.1016/S0304-4149(96)00104-4
published in: Stochastic Processes and their Applications
publication date: 1998-03-29T00:00:00Z
review text: The asymptotic distribution of the serial covariances of a univariate ARMA process can be expressed in terms of the autocovariance function of another ARMA process, whose parameters are obtained from the parameters of the initial process by squarring its autoregressive operator, moving average operator and the residual variance. Analogous statements are proved for the multivariate case, provided that the square of a matrix \(a\) is interpreted as \(a\otimes a\) (Kronecker (tensor) square of \(a\)). The introduced tensor convolution is of some interest of its own.
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 1134800
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: multivariate ARMA
zbMATH Keywords: serial covariances
zbMATH Keywords: tensor convolution
author: Georgi N. Boshnakov
MaRDI profile type: Publication
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full work available at URL: s0304-4149(96)00104-4
OpenAlex ID: W2090464929
description: scientific article; zbMATH DE number 1134800