Vector autoregression process. Stationarity and simulation

Standard

Vector autoregression process. Stationarity and simulation. / Tovstik, T. M.

In: Journal of Physics: Conference Series, Vol. 2099, No. 1, 012068, 13.12.2021.

Research output: Contribution to journal › Conference article › peer-review

Author

Tovstik, T. M. / Vector autoregression process. Stationarity and simulation. In: Journal of Physics: Conference Series. 2021 ; Vol. 2099, No. 1.

BibTeX

@article{77dd1e63fac64dadbe77ec69484ba84c,

title = "Vector autoregression process. Stationarity and simulation",

abstract = "For vector discrete-parameter random autoregressive processes and for a mixed autoregression / moving-average model, we obtain conditions which should be satisfied by the correlation functions or the model coefficients in order that the process be weakly stationary. Fairly simple tests are used. Algorithms for modeling such vector stationary processes are given. Examples are presented clarifying testing criteria for stationarity of models defined in terms of the coefficients or the correlation functions of the process.",

author = "Tovstik, {T. M.}",

note = "Publisher Copyright: {\textcopyright} 2021 Institute of Physics Publishing. All rights reserved.; International Conference on Marchuk Scientific Readings 2021, MSR 2021 ; Conference date: 04-10-2021 Through 08-10-2021",

year = "2021",

month = dec,

day = "13",

doi = "10.1088/1742-6596/2099/1/012068",

language = "English",

volume = "2099",

journal = "Journal of Physics: Conference Series",

issn = "1742-6588",

publisher = "IOP Publishing Ltd.",

number = "1",

}

RIS

TY - JOUR

T1 - Vector autoregression process. Stationarity and simulation

AU - Tovstik, T. M.

PY - 2021/12/13

Y1 - 2021/12/13

N2 - For vector discrete-parameter random autoregressive processes and for a mixed autoregression / moving-average model, we obtain conditions which should be satisfied by the correlation functions or the model coefficients in order that the process be weakly stationary. Fairly simple tests are used. Algorithms for modeling such vector stationary processes are given. Examples are presented clarifying testing criteria for stationarity of models defined in terms of the coefficients or the correlation functions of the process.

AB - For vector discrete-parameter random autoregressive processes and for a mixed autoregression / moving-average model, we obtain conditions which should be satisfied by the correlation functions or the model coefficients in order that the process be weakly stationary. Fairly simple tests are used. Algorithms for modeling such vector stationary processes are given. Examples are presented clarifying testing criteria for stationarity of models defined in terms of the coefficients or the correlation functions of the process.

UR - http://www.scopus.com/inward/record.url?scp=85123689940&partnerID=8YFLogxK

U2 - 10.1088/1742-6596/2099/1/012068

DO - 10.1088/1742-6596/2099/1/012068

M3 - Conference article

AN - SCOPUS:85123689940

VL - 2099

JO - Journal of Physics: Conference Series

JF - Journal of Physics: Conference Series

SN - 1742-6588

IS - 1

M1 - 012068

T2 - International Conference on Marchuk Scientific Readings 2021, MSR 2021

Y2 - 4 October 2021 through 8 October 2021

ER -

ID: 96487364