Multivariate time series analysis

DOI10.1016/0047-259X(73)90029-8MaRDI QIDQ2264530zbMATH OpenFDO

Authors E. J. Hannan

Publication date 1973

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3271087 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• scientific article; zbMATH DE number 3425019 (Why is no real title available?)
• Central limit theorems for time series regression
• Non-linear time series regression
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance
• Parameter Estimation for an $R$-Dimensional Plane Wave Observed with Additive Independent Gaussian Errors
• The estimation of frequency
• The uniform convergence of autocovariances

Cited in

(7)

• Estimation of impulse response functions using long autoregression
• Estimation of parameters for a linear difference equation with application to EEG analysis
• Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation
• Complete convergence for moving average process generated by extended negatively dependent random variables under sub-linear expectations
• Effects of misspecification of lag structure in certain two-variable distributed lag models
• scientific article; zbMATH DE number 958378 (Why is no real title available?)
• Fitting time series models to nonstationary processes

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