Closed-form expression for finite predictor coefficients of multivariate ARMA processes
نویسندگان
چکیده
منابع مشابه
Baxter’s Inequality for Finite Predictor Coefficients of Multivariate Long-memory Stationary Processes (running Title: Baxter’s Inequality)
For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the partial autocorrelation function (PACF) in terms of the Fourier coefficients of its phase function in the spectral domain. The derivation is based on a novel alternating projection technique and the use of the forward a...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2020
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2019.104578