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Closed-form expression for finite predictor coefficients of multivariate ARMA processes
https://hiroshima.repo.nii.ac.jp/records/2007401
https://hiroshima.repo.nii.ac.jp/records/2007401bd3cb919-8fb4-47b4-86c2-bc6199df57c8
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
JourMultiAna_176_104578.pdf (153.9 KB)
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| Item type | デフォルトアイテムタイプ_（フル）(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2023-03-18 | |||||||
| タイトル | ||||||||
| タイトル | Closed-form expression for finite predictor coefficients of multivariate ARMA processes | |||||||
| 言語 | en | |||||||
| 作成者 |
Inoue, Akihiko
× Inoue, Akihiko
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| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 権利情報 | ||||||||
| 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/ | |||||||
| 権利情報 | ||||||||
| 権利情報 | 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。 | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Finite predictor coefficients | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Multivariate ARMA processes | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Closed-form expression | |||||||
| 主題 | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Linear-time algorithm | |||||||
| 内容記述 | ||||||||
| 内容記述 | 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. | |||||||
| 言語 | en | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | The author was supported by the JSPS Grant-in-Aid 17K05302 (Inoue, A., Hiroshima Univ.). | |||||||
| 出版者 | ||||||||
| 出版者 | Elsevier | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||
| 資源タイプ | journal article | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | AO | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_b1a7d7d4d402bcce | |||||||
| 関連情報 | ||||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | 10.1016/j.jmva.2019.104578 | |||||||
| 関連情報 | ||||||||
| 識別子タイプ | DOI | |||||||
| 関連識別子 | https://doi.org/10.1016/j.jmva.2019.104578 | |||||||
| 収録物識別子 | ||||||||
| 収録物識別子タイプ | ISSN | |||||||
| 収録物識別子 | 0047-259X | |||||||
| 開始ページ | ||||||||
| 開始ページ | 104578 | |||||||
| 書誌情報 |
Journal of Multivariate Analysis Journal of Multivariate Analysis 巻 176, p. 104578, 発行日 2020-03 |
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| 旧ID | 50477 | |||||||
| 備考 | The full-text file will be made open to the public on 1 April 2022 in accordance with publisher's 'Terms and Conditions for Self-Archiving' | |||||||
