Autoregressive moving average model for matrix time series

Autor:	Shujin Wu, Ping Bi
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	matrix time series autoregressive moving average model bilinear model statistical inference Probabilities. Mathematical statistics QA273-280
Zdroj:	Statistical Theory and Related Fields, Vol 0, Iss 0, Pp 1-18 (2023)
Druh dokumentu:	article
ISSN:	2475-4269 2475-4277 24754269
DOI:	10.1080/24754269.2023.2262360
Popis:	In the paper, the autoregressive moving average model for matrix time series (MARMA) is investigated. The properties of the MARMA model are investigated by using the conditional least square estimation, the conditional maximum likelihood estimation, the projection theorem in Hilbert space and the decomposition technique of time series, which include necessary and sufficient conditions for stationarity and invertibility, model parameter estimation, model testing and model forecasting.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/6e0bc9a8abcb4727bfc3d26911709111 Zobrazit plný text záznamu View record in DOAJ