A Unified Approach to Identifying Multivariate Time Series Models

DOI10.2307/2670127MaRDI QIDQ4216972zbMATH OpenOpenAlexFDO

Authors Hong Li, Ruey S. Tsay

Publication date 28 November 1999

Full work available at URL https://doi.org/10.2307/2670127

zbMATH Keywords

Metropolis algorithmGibbs samplingmodel specificationHankel matrixechelon formKronecker indexvector autoregressive moving average model

Mathematics Subject Classification ID

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

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(12)

• Two-step adaptive model selection for vector autoregressive processes
• A likelihood based estimator for vector autoregressive processes
• Large Bayesian VARMAs
• Identification of canonical models for vectors of time series: a subspace approach
• Vector moving average models: a review
• Model specification and selection for multivariate time series
• Bayesian identification of seasonal multivariate autoregressive processes
• Independent block identification in multivariate time series
• Time dependent neural network models for detecting changes of state in complex processes: applications in earth sciences and astronomy.
• A covariance extension approach to identification of time series
• Linear models for multivariate time series
• Subset selection for vector autoregressive processes using Lasso

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