Estimation of vector Armax models

DOI10.1016/0047-259X(80)90050-0zbMath0445.62098OpenAlexW2069947945MaRDI QIDQ1145456

Manfred Deistler, E. J. Hannan, William T. M. Dunsmuir

Publication date: 1980

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(80)90050-0

zbMATH Keywords

maximum likelihood estimationstrong lawcentral limit theoremanalytic manifoldmartingaleKronecker invariantsMcMillan degreedynamical indicesvector ARMAX system

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (28)

On the asymptotic distribution of residual autocovariances in VARX models with applications ⋮ Dirichlet ARMA models for compositional time series ⋮ The asymptotic covariance matrix of the QMLE in ARMA models ⋮ The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model ⋮ Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ ARMAX model specification testing, with an application to unemployment in the Netherlands ⋮ Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ A general result on the estimation bias of ARMA models ⋮ SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Selection of weak VARMA models by modified Akaike's information criteria ⋮ A New Recursive Estimation Method for Single Input Single Output Models ⋮ Estimating structural VARMA models with uncorrelated but non-independent error terms ⋮ Some properties of the parameterization of ARMA systems with unknown order ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ Modeling of time series arrays by multistep prediction or likelihood methods. ⋮ Estimating the dimension of a linear system ⋮ Using least squares to generate forecasts in regressions with serial correlation ⋮ Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices ⋮ Unnamed Item ⋮ Modified Whittle estimation of multilateral models on a lattice ⋮ Convergence results for maximum likelihood type estimators in multivariable ARMA models ⋮ On partial-sum processes of ARMAX residuals ⋮ On the use of minimal parametrisations in multivariable ARMAX identification ⋮ TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION ⋮ MEASUREMENT ERRORS IN DYNAMIC MODELS ⋮ The uniqueness of the transfer function of linear systems from input- output observations ⋮ The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cites Work

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• The central limit theorem for time series regression
• Linear multivariable systems
• On the invariance principle for nonstationary mixingales
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Minimal Bases of Rational Vector Spaces, with Applications to Multivariable Linear Systems
• Vector linear time series models
• Vector linear time series models: corrections and extensions
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The asymptotic theory of linear time-series models

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