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ID 50477
著者
Inoue, Akihiko 大学院先進理工系科学研究科 広大研究者総覧
キーワード
Finite predictor coefficients
Multivariate ARMA processes
Closed-form expression
Linear-time algorithm
抄録(英)
We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of the number of observations. The significance of the expression is that it provides us with a linear-time algorithm to compute the finite predictor coefficients. In the proof of the expression, a correspondence result between two relevant matrix-valued outer functions plays a key role. We apply the expression to determine the asymptotic behavior of a sum that appears in the autoregressive model fitting and the autoregressive sieve bootstrap. The results are new even for univariate ARMA processes.
内容記述
The author was supported by the JSPS Grant-in-Aid 17K05302 (Inoue, A., Hiroshima Univ.).
掲載誌名
Journal of Multivariate Analysis
176巻
開始ページ
104578
出版年月日
2020-03
出版者
Elsevier
ISSN
0047-259X
出版者DOI
言語
英語
NII資源タイプ
学術雑誌論文
広大資料タイプ
学術雑誌論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
author
権利情報
© 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
This is not the published version. Please cite only the published version. この論文は出版社版ではありません。引用の際には出版社版をご確認、ご利用ください。
関連情報URL
部局名
先進理工系科学研究科
備考
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