On Vector ARMA Models Consistent with a Finite Matrix Covariance Sequence
Statistics Theory
2020-06-25 v3 Statistics Theory
Abstract
We formulate the so called "VARMA covariance matching problem" and demonstrate the existence of a solution using the degree theory from differential topology.
Cite
@article{arxiv.1708.04482,
title = {On Vector ARMA Models Consistent with a Finite Matrix Covariance Sequence},
author = {Bin Zhu},
journal= {arXiv preprint arXiv:1708.04482},
year = {2020}
}
Comments
This is a topic that has been addressed before, and hence the novelty of this work is very limited