16
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

On the prediction of multivariate arma processes with a time dependent covariance structure

Pages 27-37 | Received 01 Oct 1986, Published online: 27 Jun 2007

References

  • Abdrabbo , N.A. and Priestley , M.B. 1967 . On the prediction of nonstationary processes . J.R. Stat. Soc, , B29 : 570 – 585 .
  • Cramer , H. . On some classes of nonstationary stochastic processes . In proceedings of the Fourth Berkeley symposium on mathematical statistics and probability . Vol. II , pp. 67 – 78 . Berkeley, Los Angeles : University of California Press .
  • Granger , C.W.J. and Newbold , P. 1977 . Forecasting Economic Time Series , New York : Academic Press .
  • Hallin , M. 1978 . Mixed Autoregressive Moving Average Multivariate Processes with Time Dependent Coefficients . J. Multivariate Anal , 8 : 567 – 572 .
  • Hallin , M. and Ingenbleek , J.F. 1982 . “ The model building problem for nonstationary multivariate autoregressive processes ” . In In Time Series Analysis. Theory and Practice , Edited by: Anderson , O.D. Vol. 1 , 599 – 607 . Amsterdam : North Holland .
  • Hallin , M. and Ingenbleek , J.F. 1983 . Nonstationary Yule-Walker equations . Stat, & Prob letter , 1 : 188 – 195 .
  • Hallin , M. 1984 . Spectral factorization of non-stationary moving average processes . The Annals of Statistics , 12 : 172 – 192 .
  • Hallin , M. 1986 . Nonstationary q-dependent processes and time varying moving-average models: invertibility properties and the forecasting problem . Adv. in Appl. Prob , 18 : 170 – 210 .
  • Miller , K.S. 1968 . Linear Difference Equations , New York : Benjamin .
  • Niemi , H. 1983 . On the effect of a nonstationary noise on ARMA models . Scand. J. Statist , 10 : 11 – 17 .
  • Peiris , M.S. 1986 . On prediction with time dependent Attfe models . Commun. Statist, - Theory Meth , 15 ( 12 ) : 3859 – 3668 .
  • Tyssedal , J.S. and Tjcstheim , D. 1982 . Autoregreasive processes with a time dependent variance . J. Time Ser. Anal , 3 ( 12 ) : 209 – 217 .
  • Wegman , E.J. 1974 . Some results on nonstationary first order autoregression . Technome tries , 16 ( 12 ) : 321 – 322 .
  • Wichern , D.W. , Miller , R.B. and Hsu , D.A. 1976 . Changes of variance in first order autoragressive time series models with an application . Appl. Statist , 25 ( 12 ) : 248 – 256 .
  • Whittle , P. 1965 . Recursive relations for predictors of nonstationary processes . J.R. Stat. Soc. B , 27 ( 12 ) : 523 – 532 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.