SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES

DOI10.1111/j.1467-9892.1981.tb00309.xzbMath0502.62078OpenAlexW2146808236MaRDI QIDQ3968342

Athar S. Alavi, Gwilym Jenkins

Publication date: 1981

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00309.x

zbMATH Keywords

identificationmodellingfittingcheckingprewhiteningstochastic trendsforecasting multivariate time seriesstochastic seasonal patterns

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Testing causality using efficiently parametrized vector ARMA models ⋮ A specification strategy for order determination in arma models ⋮ Multivariate time series analysis with state space models ⋮ A note on the modelling and analysis of vector ARMA processes with nonstationary innovations ⋮ Computing white stylized facts on comovement.

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• Intervention Analysis with Applications to Economic and Environmental Problems
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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