EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES

DOI10.1111/J.1467-9892.1982.TB00350.XMaRDI QIDQ4743617zbMATH OpenOpenAlexFDO

Authors Dag Tjøstheim, Jostein Paulsen

Publication date 1982

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1982.tb00350.x

zbMATH Keywords

ARIMA modelsempirical identification of multiple time seriesmatrix normalized crosscovariance functionmatrix partial correlation function

Mathematics Subject Classification ID

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

Cites work

• A canonical analysis of multiple time series
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Factorizing multivariate time series operators
• Granger-causality in multiple time series
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• Modeling Multiple Times Series with Applications
• Multiple Time Series Analysis and the Final Form of Econometric Models
• On the fitting of multivariate processes of the autoregressive-moving average type
• The effect of transformations of variables upon their correlation coefficients
• The Multivariate Portmanteau Statistic

Cited in

(7)

• Periodic moving averages of random variables with regularly varying tails
• Innovations algorithm for periodically stationary time series
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
• Asymptotic results for Fourier-PARMA time series
• Parsimonious time series modeling for high frequency climate data
• Parameter Estimation for Periodically Stationary Time Series

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