A note on the modelling and analysis of vector ARMA processes with nonstationary innovations

被引：1
|
作者：
Singh, N
Yadavalli, VSS
Peiris, MS
机构：
[1] Univ Pretoria, Dept Ind & Syst Engn, ZA-0002 Pretoria, South Africa
[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia
来源：
MATHEMATICAL AND COMPUTER MODELLING | 2002年 / 36卷 / 11-13期
关键词：
Hilbert space; vector processes; uniformly bounded; regularity conditions; nonstationary; white-noise; prediction; multivariate; Yule-Walker equations; ARIMA process; innovations; estimation;
D O I：
10.1016/S0895-7177(02)00297-2
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This paper considers the modelling and analysis of nonstationary vector ARMA processes from the theoretical point of view. Some extensions to the existing work (see, for example [1,2]) incorporating the nonstationarity of the underlying process are given using models with nonstationary innovations. It is shown that this class of models provides a very strong framework for many practical situations. The estimation procedures are discussed. Various prediction results are also given. Some examples are added to illustrate the theory. Crown copyright (C) 2002 Published by Elsevier Science Ltd. All rights reserved.
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页码：1409 / 1424
页数：16
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