Identification of multivariate ARMA models

DOI10.1007/BF02011890MaRDI QIDQ1286663zbMATH OpenOpenAlexFDO

Authors Guibin Li

Publication date 31 October 1999

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02011890

zbMATH Keywords

central limit theoremCLTARMA modelsmultiple time serieslaw of iterated logarithmVARMALILestimates of orders

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
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• scientific article; zbMATH DE number 4111699 (Why is no real title available?)
• scientific article; zbMATH DE number 3711820 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Extimation and structure determination of multivariate input systems
• Recursive method for ARMA model estimation. I

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(12)

• Identification/prediction algorithms for armax models with relaxed positive real conditions
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• scientific article; zbMATH DE number 3913497 (Why is no real title available?)
• Multivariate contemporaneous ARMA model with hydrological applications
• A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory
• scientific article; zbMATH DE number 4119443 (Why is no real title available?)
• Multivariate arma models with generalized autoregressive linear innovation
• Order Reductions of the Marginals and Identification of Multiple ARMA Models
• scientific article; zbMATH DE number 5211919 (Why is no real title available?)
• Generalized maximum entropy based identification of graphical ARMA models
• ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS

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