18 citations · 57 across the 15 of their papers we have counts for
18 papers
Local approximations of inverse block Toeplitz matrices and Baxter-type theorems for long-memory processes
Akihiko Inoue, Junho Yang
We derive sharp approximation error bounds for inverse block Toeplitz matrices associated with multivariate long-memory stationary processes. The error bounds are evaluated for bot…
Explicit formulas for the inverses of Toeplitz matrices, with applications
Akihiko Inoue
We derive novel explicit formulas for the inverses of truncated block Toeplitz matrices that correspond to a multivariate minimal stationary process. The main ingredients of the fo…
Closed-form expression for finite predictor coefficients of multivariate ARMA processes
Akihiko Inoue
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…
Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
Akihiko Inoue, Yukio Kasahara, Mohsen Pourahmadi
For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the pa…
A Vasicek-type short rate model with memory effect
Akihiko Inoue, Shingo Moriuchi, Yusuke Nakamura
We introduce a Vasicek-type short rate model which has two additional parameters representing memory effect. This model presents better results in yield curve fitting than the clas…
The intersection of past and future for multivariate stationary processes
Akihiko Inoue, Yukio Kasahara, Mohsen Pourahmadi
We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor…