ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP (Q4021568): Difference between revisions
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Revision as of 18:09, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP |
scientific article |
Statements
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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