On the predictor of non-full-rank bivariate stochastic processes

Algorithms for determining the generating function, the prediction error matrix, and the best linear predictor for non-full-rank bivariate stationary stochastic processes are obtained.

MoreLess

Year of publication:	1989
Authors:	Miamee, A. G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 29.1989, 1, p. 15-29
Publisher:	Elsevier
Keywords:	generating function prediction error matrix best linear predictor bivariate stationary processes non-full-rank processes

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221594