| Title:
|
On transformations of multivariate ARMA processes (English) |
| Author:
|
Linka, Aleš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
24 |
| Issue:
|
2 |
| Year:
|
1988 |
| Pages:
|
122-129 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0637.62084 |
| idMR:
|
MR942379 |
| . |
| Date available:
|
2009-09-24T18:05:12Z |
| Last updated:
|
2012-06-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/125129 |
| . |
| Reference:
|
[1] J. Anděl: Statistická analýza časových řad.(Statistical Analysis of Time Series.) SNTL, Praha 1976. |
| Reference:
|
[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. Zbl 0541.62072, MR 0770319 |
| Reference:
|
[3] J. W. C. Granger, M. J. Morris: Time series modelling and interpretation.J. Roy. Statist. Soc. Ser. A 138 (1976), 246-257. MR 0461816 |
| Reference:
|
[4] I. I. Gichman, A. V. Skorochod: Teorija slučajnych processov.Nauka, Moskva 1971. |
| Reference:
|
[5] E. J. Hannan: Multiple Time Series.Wiley, New York 1971. MR 0279952 |
| Reference:
|
[6] E. J. Hannan: The identification of vector mixed autoregressive-moving average systems.Biometrika 56 (1969), 223-225. Zbl 0177.22502, MR 0254998 |
| Reference:
|
[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. |
| Reference:
|
[8] H. Lütkepohl: Linear transformations of vector ARMA processes.J. Econometrics 26 (1984), 283-293. MR 0769988 |
| Reference:
|
[9] J. A. Rozanov: Stacionarnyje slučajnyje processy.Gos. izd., Moskva 1963. |
| Reference:
|
[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. Zbl 0387.62074, MR 0520827 |
| . |
