Elements of multivariate time series analysis
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modeling of multivariate time seriesvector ARMA modelsstructural indicesstationary processesstate-space modelsscalar component modelsresidualsreduced rank structureproblemsnumerical examplesnonstationary co-integrated modelsmultivariate unit-root modelsmultiple time seriesautocorrelation matricesmodel checking diagnosticsmaximum likelihood estimationleast squaresKalman filtering techniquesforecastingexercisesdata setscointegrationcanonical structurecanonical correlation analysisautocovariance
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- Component extraction analysis of multivariate time series
- A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
- Analysis of variance for multivariate time series
- A general result on the estimation bias of ARMA models
- The importance of common cyclical features in VAR analysis: A Monte-Carlo study.
- Bootstrap based inference for sparse high-dimensional time series models
- Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
- The estimation of frequency in the multichannel sinusoidal model
- Noncausal vector AR processes with application to economic time series
- Necessary and sufficient conditions for AR vector processes to be stationary: applications in information theory and in statistical signal processing
- The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
- Multivariate time series with linear state space structure
- Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
- Forecasting Composite Indicators with Anticipated Information: An Application to the Industrial Production Index
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Measuring the Advantages of Multivariate vs. Univariate Forecasts
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- Fourth-order moments of augmented arch processes
- Bootstrap order selection for autoregressive models
- BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS
- Ewma charts for multivariate time series
- On The Peña–Box Model
- Clustering multivariate time series by genetic multiobjective optimization
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Atmospheric CO₂ and global temperatures: the strength and nature of their dependence
- A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
- An adaptive variable-parameters scheme for the simultaneous monitoring of the mean and variability of an autocorrelated multivariate normal process
- Flexible and Robust Mixed Poisson INGARCH Models
- Multivariate time series decomposition into oscillation components
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- A Note on the Specification and Estimation of ARMAX Systems
- Testing the Fit of a Vector Autoregressive Moving Average Model
- scientific article; zbMATH DE number 3252904 (Why is no real title available?)
- Forecasting Social Security Actuarial Assumptions
- Elements of multivariate time series analysis.
- Elements of multivariate time series analysis
- The effect of autocorrelation on the diagnostic procedures
- Control charts for high-dimensional time series with estimated in-control parameters
- Vector moving average models: a review
- Principal component analysis for second-order stationary vector time series
- Identification of vector AR models with recursive structural errors using conditional independence graphs
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