Spectrum of randomly sampled multivariate ARMA models

Amina Kadi

Kybernetika (1998)

  • Volume: 34, Issue: 3, page [317]-333
  • ISSN: 0023-5954

Abstract

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The paper is devoted to the spectrum of multivariate randomly sampled autoregressive moving-average (ARMA) models. We determine precisely the spectrum numerator coefficients of the randomly sampled ARMA models. We give results when the non-zero poles of the initial ARMA model are simple. We first prove the results when the probability generating function of the random sampling law is injective, then we precise the results when it is not injective.

How to cite

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Kadi, Amina. "Spectrum of randomly sampled multivariate ARMA models." Kybernetika 34.3 (1998): [317]-333. <http://eudml.org/doc/33357>.

@article{Kadi1998,
abstract = {The paper is devoted to the spectrum of multivariate randomly sampled autoregressive moving-average (ARMA) models. We determine precisely the spectrum numerator coefficients of the randomly sampled ARMA models. We give results when the non-zero poles of the initial ARMA model are simple. We first prove the results when the probability generating function of the random sampling law is injective, then we precise the results when it is not injective.},
author = {Kadi, Amina},
journal = {Kybernetika},
keywords = {ARMA model; spectral analysis; ARMA model; spectral analysis},
language = {eng},
number = {3},
pages = {[317]-333},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Spectrum of randomly sampled multivariate ARMA models},
url = {http://eudml.org/doc/33357},
volume = {34},
year = {1998},
}

TY - JOUR
AU - Kadi, Amina
TI - Spectrum of randomly sampled multivariate ARMA models
JO - Kybernetika
PY - 1998
PB - Institute of Information Theory and Automation AS CR
VL - 34
IS - 3
SP - [317]
EP - 333
AB - The paper is devoted to the spectrum of multivariate randomly sampled autoregressive moving-average (ARMA) models. We determine precisely the spectrum numerator coefficients of the randomly sampled ARMA models. We give results when the non-zero poles of the initial ARMA model are simple. We first prove the results when the probability generating function of the random sampling law is injective, then we precise the results when it is not injective.
LA - eng
KW - ARMA model; spectral analysis; ARMA model; spectral analysis
UR - http://eudml.org/doc/33357
ER -

References

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