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

DOI10.1214/AOS/1176348518MaRDI QIDQ1192964zbMATH OpenOpenAlexFDO

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

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)

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(18)

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• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• 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
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• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
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• Estimation and forecasting in vector autoregressive moving average models for rich datasets
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• 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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