Multivariate linear time series models
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AICalgebraic and topological structurealgorithmsanalytic manifoldARMAX systemsasymptotically efficient estimationautoregressionBICcentral limit theoremcoordinate neighbourhoodsechelon formKalman filterlaw of iterated logarithmLevinson-Whittle recursionmartingale differencesmatrix transfer functionsMcMillan degreemodel fittingmoving averagemultivariate linear time series modelsorder determinationrank of Hankel matrixrational transfer function linear systemssimulation resultsstate-space formsToeplitz regressionuniform rates of convergence
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- An efficient method for the estimation of multivariate moving averge models
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- 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
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- Vector moving average models: a review
- On multiplicative seasonal modelling for vector time series
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