The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
Abstract
The recursive method proposed by Durbin (1960) for the fitting of autoregreseive schemes of successively increasing order is generalized to the fitting of multivariate autoregressions, and of schemes with rational spectral density function. It is also shown that an auto regression fitted from the Yule-Walker relations, even if of insufficient order, has the necessary stability properties. This property holds in the multivariate case, too, and is important in connexion with a problem arising in multivariate prediction: the approximate factorization of a spectral density matrix.
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Citations
Cites
Toeplitz Forms and Their Applications
Grenander, U., Szegö, G., & Kac, M. (1958) · Physics Today · doi:10.1063/1.3062237 · Cited by 1,840
The Fitting of Time-Series Models
Durbin, J. (1960) · Revue de l'Institut International de Statistique / Review of the International Statistical Institute · doi:10.2307/1401322 · Cited by 1,056
Toeplitz Forms and Their Applications.
Savage, L. J., Grenander, U., & Szego, G. (1958) · Journal of the American Statistical Association · doi:10.2307/2282065 · Cited by 1,045
Cited by
Modeling Multiple Time Series with Applications
Tiao, G. C., & Box, G. E. P. (1981) · Journal of the American Statistical Association · doi:10.1080/01621459.1981.10477728 · Cited by 626
Time-dependent ARMA modeling of nonstationary signals
Grenier, Y. (1983) · IEEE Transactions on Acoustics, Speech, and Signal Processing · doi:10.1109/tassp.1983.1164152 · Cited by 435
Solved problems for Granger causality in neuroscience: A response to Stokes and Purdon
Barnett, L., Barrett, A. B., & Seth, A. K. (2018) · NeuroImage · doi:10.1016/j.neuroimage.2018.05.067 · Cited by 73
Identifying good practices for detecting inter-regional linear functional connectivity from EEG
Pellegrini, F., Delorme, A., Nikulin, V., & Haufe, S. (2023) · NeuroImage · doi:10.1016/j.neuroimage.2023.120218 · Cited by 43
Metadata
- Authors
- WHITTLE, P.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1963
- Volume
- 50
- Issue
- 1-2
- Pages
- 129-134
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W1981417294
- Cited by
- 398
- References
- 3
- FWCI
- 0.61
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
