Abstract
AbstractThis paper considers discrete multivariate processes with time-dependent rational spectral density matrices and gives a solution to the spectral factorisation problem. As a result, the corresponding state space representation for the process is obtained. The relationship between multivariate processes with time-dependent rational spectral density matrix functions and multivariate ARMA processes with time-dependent coefficients is discussed. Solutions for the prediction problem are given for the case when only finite data is available and the case when the whole history of the process is known.
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Schedule a callMore From: The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
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