Modeling Multiple Times Series with Applications

DOI10.2307/2287575MaRDI QIDQ3942260zbMATH OpenOpenAlexFDO

Authors George C. Tiao, G. E. P. Box

Publication date 1981

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2287575

zbMATH Keywords

estimationtransfer functiondiagnostic checkingcross-correlationsvector autoregressive moving average modelsintervention analysispartial autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cited in

(93)

• Parametric mortality indexes: from index construction to hedging strategies
• Factor models for matrix-valued high-dimensional time series
• ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• An equivalent canonical form for multiple time series
• The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes
• Combining multiple time series predictors: A useful inferential procedure
• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• Econometric tests of rationality and market efficiency
• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
• Tests for special causes with multivariate autocorrelated data
• scientific article; zbMATH DE number 7578293 (Why is no real title available?)
• Using a Serial Marker to Predict a Repeated Measures Outcome in a Cohort Study
• George Box's contributions to time series analysis and forecasting
• A unified theory of the dynamics of closed-loop supply chains
• The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
• Empirically feasible solutions and explicit dynamics for rational expectation models
• Identification of canonical models for vectors of time series: a subspace approach
• Demand planning approaches to aggregating and forecasting interrelated demands for safety stock and backup capacity planning
• AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING
• Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
• Vector moving average models: a review
• A robust procedure to build dynamic factor models with cluster structure
• A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables
• Short run and long run causality in time series: inference
• ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES
• Cut sharing for multistage stochastic linear programs with interstage dependency
• Simulation Study on Variance of Forecast Error for Vector Arima Models
• A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
• A method for approximate representation of vector-valued time series and its relation to two alternatives
• An approach to causal modeling in fuzzy environment and its application
• A new look at the relationship between time-series and structural econometric models
• Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models
• An efficient method for the estimation of multivariate moving averge models
• Threshold factor models for high-dimensional time series
• Nonparametric transfer function models
• Testing causality using efficiently parametrized vector ARMA models
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• A bivariate threshold time series model for analyzing Australian interest rates
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• Optimal multistep VAR forecast averaging
• Bayesian Identification of Multivariate Autoregressive Processes
• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
• Model reduction via the internally balanced state space representation
• Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
• Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 index
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Encompassing univariate models in multivariate time series. A case study
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• On the logical development of statistical models
• Time-varying spatio-temporal models by wavelets
• SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
• Recurrent neural network for dynamic portfolio selection
• A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
• Short‐term forecasting with a computationally efficient nonparametric transfer function model
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Extimation and structure determination of multivariate input systems
• ESTIMATION OF MULTIVARIATE TIME SERIES
• Detecting and modeling nonlinearity in the gas furnace data
• On the identification of ARMA echelon-form models
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Bayesian classification with multivariate autoregressive sources that might have different orders
• Consistent testing for non‐correlation of two cointegrated ARMA time series
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• State space modeling of time series: A review essay
• A vector autoregressive moving average time series approach for describing asymmetries of antennal control of two millipede species
• Evaluation of credit value adjustment in K-forward
• Statistical tests for multiple forecast comparison
• Autoregressive models for matrix-valued time series
• On a matrix-valued autoregressive model
• The CBD Mortality Indexes: Modeling and Applications
• Constructing out-of-the-money longevity hedges using parametric mortality indexes
• Tests for noncorrelation of two multivariate ARMA time series
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao
• Noncausal vector AR processes with application to economic time series
• Autoregression model of time series with matrix cross-section data
• Testing serial correlations in high-dimensional time series via extreme value theory
• Nonlinear transfer functions
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Subset selection for vector autoregressive processes using Lasso
• Truncated correlation coefficient test for two random vectors
• A frequency-domain test for multivariate white noise
• Outlier identifiability in time series
• Rainbow options with MS-VAR process
• A vector autoregressive model to predict hurricane tracks
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Two-mode network autoregressive model for large-scale networks

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