Abstract
This paper deals with the finite part of multiple autoregressive series. The conditions of stationarity are derived and the inverse of the covariance matrix is evaluated (without assumption of stationarity).
Citation
Jiri Andel. "On the Multiple Autoregressive Series." Ann. Math. Statist. 42 (2) 755 - 759, April, 1971. https://doi.org/10.1214/aoms/1177693425
Information
Published: April, 1971
First available in Project Euclid: 27 April 2007
zbMATH: 0218.60053
MathSciNet: MR286235
Digital Object Identifier: 10.1214/aoms/1177693425
Rights: Copyright © 1971 Institute of Mathematical Statistics