Multivariate linear time series models
From MaRDI portal
Levinson-Whittle recursionuniform rates of convergenceToeplitz regressionstate-space formssimulation resultsrational transfer function linear systemsrank of Hankel matrixorder determinationmultivariate linear time series modelsmoving averagemodel fittingMcMillan degreematrix transfer functionsmartingale differencesAIClaw of iterated logarithmKalman filterechelon formcoordinate neighbourhoodscentral limit theoremBICautoregressionasymptotically efficient estimationARMAX systemsanalytic manifoldalgorithmsalgebraic and topological structure
Recommendations
- Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
- A Note on the Specification and Estimation of ARMAX Systems
- Rational transfer function approximation (with discussion)
- Publication:3474002
- Structure and order estimation of multivariable stochastic processes
Cited in
(69)- Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms
- Rational transfer function approximation (with discussion)
- Properties of the parametrization of monic ARMA systems
- Subset regression time series and its modeling procedures
- On the use of minimal parametrisations in multivariable ARMAX identification
- Variance expressions for spectra estimated using auto-regressions.
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting
- Recursive method for ARMA model estimation. II
- The common structure of parametrizations for linear systems
- The -algorithm for the identification of a transfer-function model: Some applications
- Consistency and relative efficiency of subspace methods
- Model specification and selection for multivariate time series
- The estimation of frequency in the multichannel sinusoidal model
- Frequency domain conditions for parameter convergence in multivariable recursive identification
- Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
- Optimized regression models for time series
- Combining inflation density forecasts
- A numerical method for factorizing the rational spectral density matrix
- Relations between information criteria for model-structure selection Part 1. The role of bayesian model order estimation
- scientific article; zbMATH DE number 7219002 (Why is no real title available?)
- scientific article; zbMATH DE number 4143299 (Why is no real title available?)
- An efficient method for the estimation of multivariate moving averge models
- Estimating multivariate autoregressive moving average models by fitting long autoregressions
- ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
- Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model
- REGRESSION, AUTOREGRESSION MODELS
- ARMA models, their Kronecker indices and their McMillan degree
- scientific article; zbMATH DE number 3988546 (Why is no real title available?)
- MULTIPLE BILINEAR TIME SERIES MODELS
- ARMA canonical forms obtained from constructibility invariants
- scientific article; zbMATH DE number 4070780 (Why is no real title available?)
- General results on the McMillan degree and the Kronecker indices of ARMA and MFD models
- TIME DELAY ESTIMATION
- MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
- System order and structure indices of linear systems in polynomial form
- TRANSFER FUNCTION ESTIMATION
- Stable spectral factorization with applications to the estimation of time series models
- scientific article; zbMATH DE number 721872 (Why is no real title available?)
- Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
- On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
- Structure identification of parameter-bounding models by use of noise-structure bounds
- RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Global total least squares modeling of multivariable time series
- ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
- ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
- Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
- Distributed Order Estimation of ARX Model under Cooperative Excitation Condition
- Using VARMA technique to measure the performance quality of E-service-FIFA2014
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Algorithm 808
- A Note on the Specification and Estimation of ARMAX Systems
- AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
- Convergence rates for inverse Toeplitz matrix forms
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- High‐dimensional sparse multivariate stochastic volatility models
- Identification of canonical models for vectors of time series: a subspace approach
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Distributed order estimation for continuous-time stochastic systems
- Vector moving average models: a review
- On multiplicative seasonal modelling for vector time series
- On the martingale approximation of the estimation error of ARMA parameters
- Extimation and structure determination of multivariate input systems
This page was built for publication: Multivariate linear time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3339130)
