Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Closed-form expression for finite predictor coefficients of multivariate
  ARMA processes   We derive a closed-form expression for the finite predictor coefficients of
multivariate ARMA (autoregressive moving-average) processes. The expression is
given in terms of several explicit matrices that are of fixed sizes independent
of the number of observations. The significance of the expression is that it
provides us with a linear-time algorithm to compute the finite predictor
coefficients. In the proof of the expression, a correspondence result between
two relevant matrix-valued outer functions plays a key role. We apply the
expression to determine the asymptotic behavior of a sum that appears in the
autoregressive model fitting and the autoregressive sieve bootstrap. The
results are new even for univariate ARMA processes.

27
The categories of this paper are: comp-gas
8
The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
13
The categories of this paper are: quant-ph
23
The categories of this paper are: solv-int
37
The categories of this paper are: supr-con
18
The categories of this paper are: econ
32
The categories of this paper are: atom-ph
30
The categories of this paper are: q-alg
34
The categories of this paper are: chem-ph
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph
29
The categories of this paper are: funct-an
4
The categories of this paper are: cond-mat