Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model

DOI10.1080/03610928708829352zbMath0613.62113MaRDI QIDQ4720612

Sung K. Ahn, Gregory C. Reinsel

Publication date: 1987

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928708829352

zbMATH Keywords

asymptotic distribution; prediction mean square error; fitted multivariate reduced rank autoregressive model; portmanteau test for model adequacy; residual autocovariance matrices

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Cites Work

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• Diagnostic tests for multiple time series models
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• Generalized canonical analysis for time series
• Distribution of residual autocorrelations in multivariate autoregressive index models
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• Predictions of multivariate autoregressive-moving average models
• Some results on multivariate autoregressive index models