Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms

DOI10.1016/j.jmva.2008.05.008zbMath1294.62189MaRDI QIDQ1000570

Dietmar Bauer

Publication date: 9 February 2009

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.05.008

zbMATH Keywords

subspace methods; multivariate models; ARMAX systems

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)