Symmetric and Reversed Multiple Stationary Autoregressive Series

Andel, Jiri

Andel, Jiri

Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1197-1203 / Harvested from Project Euclid

Résumé

Let $\{X_t\}$ be a $p$-dimensional stationary autoregressive series. The main result is the determination of the autoregressive matrices of the series which is reversed in time with respect to $\{X_t\}$. The series which is reversed with respect to itself is called symmetric. The conditions for the symmetry of $\{X_t\}$ are given in the paper. The inverse of the covariance matrix is evaluated for the finite part of the symmetric autoregressive series.

Publié le : 1972-08-14
Classification:

@article{1177692471,
     author = {Andel, Jiri},
     title = {Symmetric and Reversed Multiple Stationary Autoregressive Series},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1197-1203},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692471}
}

Andel, Jiri. Symmetric and Reversed Multiple Stationary Autoregressive Series. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1197-1203. http://gdmltest.u-ga.fr/item/1177692471/