ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP (Q4021568): Difference between revisions

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Property / DOI: 10.1111/j.1467-9892.1992.tb00117.x / rank
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Latest revision as of 22:17, 28 December 2024

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ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
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    ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP (English)
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    16 January 1993
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    identification
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    canonical correlations
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    time series
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    zero-mean weakly stationary stochastic process
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    continuous, positive spectral density
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    \(\text{ARMA}(p,q)\) model
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    bootstrap procedure
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    resampling
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    residuals
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    asymptotic validity
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    vector autocorrelation estimates
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    simulations
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    examples
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    large-sample Gaussian approximations
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