Estimation of vector Armax models

DOI10.1016/0047-259X(80)90050-0MaRDI QIDQ1145456zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, Manfred Deistler, William T. M. Dunsmuir

Publication date 1980

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(80)90050-0

zbMATH Keywords

maximum likelihood estimationcentral limit theoremmartingaleKronecker invariantsstrong lawMcMillan degreeanalytic manifolddynamical indicesvector ARMAX system

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cites work

• scientific article; zbMATH DE number 3729323 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Linear multivariable systems
• Minimal Bases of Rational Vector Spaces, with Applications to Multivariable Linear Systems
• On the invariance principle for nonstationary mixingales
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The asymptotic theory of linear time-series models
• The central limit theorem for time series regression
• Vector linear time series models
• Vector linear time series models: corrections and extensions

Cited in

(29)

• On the asymptotic distribution of residual autocovariances in VARX models with applications
• Asymptotic Fisher information matrix of Markov switching VARMA models
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
• On the use of minimal parametrisations in multivariable ARMAX identification
• Dirichlet ARMA models for compositional time series
• Some properties of the parameterization of ARMA systems with unknown order
• Measurement errors in dynamic models
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• Matrix algebraic properties of the Fisher information matrix of stationary processes
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck kind
• On partial-sum processes of ARMAX residuals
• A general result on the estimation bias of ARMA models
• A new recursive estimation method for single input single output models
• Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
• Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices
• ARMAX model specification testing, with an application to unemployment in the Netherlands
• Modified Whittle estimation of multilateral models on a lattice
• The asymptotic covariance matrix of the QMLE in ARMA models
• Image-Based Feedback Control Using Tensor Analysis
• The uniqueness of the transfer function of linear systems from input- output observations
• Using least squares to generate forecasts in regressions with serial correlation
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Estimating the dimension of a linear system
• Modeling of time series arrays by multistep prediction or likelihood methods.
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
• Selection of weak VARMA models by modified Akaike's information criteria

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