On transformations of multivariate ARMA processes

Aleš Linka

Kybernetika (1988)

  • Volume: 24, Issue: 2, page 122-129
  • ISSN: 0023-5954

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Linka, Aleš. "On transformations of multivariate ARMA processes." Kybernetika 24.2 (1988): 122-129. <http://eudml.org/doc/28284>.

@article{Linka1988,
author = {Linka, Aleš},
journal = {Kybernetika},
keywords = {Transformations of multivariate ARMA processes; ARMA structure; covariance function; linear transformation; scalar product of two ARMA processes},
language = {eng},
number = {2},
pages = {122-129},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On transformations of multivariate ARMA processes},
url = {http://eudml.org/doc/28284},
volume = {24},
year = {1988},
}

TY - JOUR
AU - Linka, Aleš
TI - On transformations of multivariate ARMA processes
JO - Kybernetika
PY - 1988
PB - Institute of Information Theory and Automation AS CR
VL - 24
IS - 2
SP - 122
EP - 129
LA - eng
KW - Transformations of multivariate ARMA processes; ARMA structure; covariance function; linear transformation; scalar product of two ARMA processes
UR - http://eudml.org/doc/28284
ER -

References

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  1. J. Anděl, Statistická analýza časových řad, (Statistical Analysis of Time Series.) SNTL, Praha 1976. (1976) 
  2. E. M. R. A. Engel, A unified approach to the study of sums, products, time aggregation and other functions of ARMA processes, J. Time Series Anal. 5 (1984), 159-171. (1984) Zbl0541.62072MR0770319
  3. J. W. C. Granger, M. J. Morris, Time series modelling and interpretation, J. Roy. Statist. Soc. Ser. A 138 (1976), 246-257. (1976) MR0461816
  4. I. I. Gichman, A. V. Skorochod, Teorija slučajnych processov, Nauka, Moskva 1971. (1971) 
  5. E. J. Hannan, Multiple Time Series, Wiley, New York 1971. (1971) MR0279952
  6. E. J. Hannan, The identification of vector mixed autoregressive-moving average systems, Biometrika 56 (1969), 223-225. (1969) Zbl0177.22502MR0254998
  7. L. Isserlis, On a formula for the product-moment coefficient of any order of a normal frequency distribution in any number of variables, Biometrika 12 (1918), 134-239. (1918) 
  8. H. Lütkepohl, Linear transformations of vector ARMA processes, J. Econometrics 26 (1984), 283-293. (1984) MR0769988
  9. J. A. Rozanov, Stacionarnyje slučajnyje processy, Gos. izd., Moskva 1963. (1963) 
  10. E. W. Wecker, A note on the time series which is the product of two stationary time series, Stoch. Proc. Appl. 8 (1978), 153-157. (1978) Zbl0387.62074MR0520827

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