Identification of echelon canonical forms for vector linear processes using least squares

DOI10.1214/AOS/1176348518zbMATH Open0756.62033OpenAlexW2089155713MaRDI QIDQ1192964FDOQ1192964

Authors: D. S. Poskitt 

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348518

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zbMATH Keywords

consistencyidentificationleast squares regressiontransfer functionspeed of convergenceKronecker indicesechelon canonical formclosed form least squares calculationsdetermination of structural indicesstationary, invertible vector autoregressive moving-average time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cited In (18)

• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Title not available (Why is that?)
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• Large Bayesian VARMAs
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• Identification of canonical models for vectors of time series: a subspace approach
• Model specification and selection for multivariate time series
• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Consistency and relative efficiency of subspace methods
• Structural identification of linear multivariable systems using overlapping forms: a new parametrization
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• Use of canonical analysis in time series model identification
• On the identification of ARMA echelon-form models
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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