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ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
Author(s) -
Sakai Hideaki
Publication year - 1991
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1991.tb00069.x
Subject(s) - mathematics , spectral density , equivalence (formal languages) , parametric statistics , representation (politics) , spectral properties , spectral analysis , stationary process , spectral representation , autoregressive–moving average model , matrix (chemical analysis) , process (computing) , statistical physics , mathematical analysis , pure mathematics , statistics , autoregressive model , computer science , quantum electrodynamics , chemistry , computational chemistry , physics , materials science , quantum mechanics , politics , spectroscopy , political science , law , composite material , operating system
. After reviewing the spectral representation theorems for periodic stationary process, we derive a parametric formula for the spectral density of a periodic ARMA process via a new approach. The equivalence with the existing approach is shown.