An equivalent canonical form for multiple time series
From MaRDI portal
Publication:1098209
DOI10.1007/BF02007666zbMath0636.62091MaRDI QIDQ1098209
Publication date: 1987
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
simulations; single equation; simultaneous equations; equivalence transformation; equivalent canonical form VARTMA; multiple time series models; polynomial matrix theory; VARMA model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)