A comparison of multivariate autoregressive estimators

DOI10.1016/J.SIGPRO.2005.11.007MaRDI QIDQ1031300zbMATH OpenOpenAlexFDO

Authors Alois Schlögl

Publication date 29 October 2009

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sigpro.2005.11.007

zbMATH Keywords

coherencecross-validationcausalitybootstrappinginformation flowparametric modelingdirected transfer functionstationary multivariate spectral analysisstochastic signal processing

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Filtering in stochastic control theory (93E11)

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Cited in

(13)

• Mathematical issues in the inference of causal interactions among multichannel neural signals
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Order selection criteria for vector autoregressive models
• Multichannel AR parameter estimation from noisy observations as an errors-in-variables issue
• Algorithm 808
• Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices
• Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• scientific article; zbMATH DE number 1228716 (Why is no real title available?)
• Measuring connectivity in linear multivariate processes: definitions, interpretation, and practical analysis
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• Multivariate signal analysis by parametric models
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Describes a project that uses

Uses Software

• Octave
• Matlab
• ARfit

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