Identification of multivariate ARMA models

DOI10.1007/BF02011890zbMATH Open0923.62097OpenAlexW2022873788MaRDI QIDQ1286663FDOQ1286663

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

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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)

Cites Work

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• Extimation and structure determination of multivariate input systems
• Recursive method for ARMA model estimation. I
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Cited In (12)

• Identification/prediction algorithms for armax models with relaxed positive real conditions
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• Title not available (Why is that?)
• Multivariate contemporaneous ARMA model with hydrological applications
• A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory
• Title not available (Why is that?)
• Multivariate arma models with generalized autoregressive linear innovation
• Order Reductions of the Marginals and Identification of Multiple ARMA Models
• Title not available (Why is that?)
• Generalized maximum entropy based identification of graphical ARMA models
• ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS

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