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On extrapolation in multiple ARMA processes. (English) Zbl 0454.60040

MSC:

60G25 Prediction theory (aspects of stochastic processes)
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References:

[1] Ju. A. Rozanov: Stacionarnyje slučajnyje processy. Gos. izd., Moskva 1963.
[2] A. M. Jaglom: Primery nelinejnogo ekstrapolirovanija stacionarnych slučajnych processov. Trudy VI. vsesojuznogo soveščanija po teorii verojatnostej i matematičeskoj statistike, Gos. izd. polit. i naučnoj literatury Litovskoj SSR, Vilnius 1962, 275-296.
[3] J. Anděl: Measures of dependence in discrete stationary processes. Math. Operationsforsch. Statist., Ser. Statistics 10 (1979), 107-126. · Zbl 0443.62042
[4] C. W. J. Granger: Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37 (1969), 424-438. · Zbl 1366.91115
[5] D. A. Pierce L. D. Haugh: Causality in temporal systems: characterizations and survey. J. Econometrics 5 (1977), 265-293. · Zbl 0355.62077
[6] F. R. Gantmacher: Teorija matric. Nauka, Moskva 1966.
[7] J. Anděl: On extrapolation in two-dimensional stationary processes. Math. Operationsforsch. Statist., Ser. Statistics 11 (1980), 3, 315-326. · Zbl 0449.60025
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