Multivariate time series analysis

DOI10.1016/0047-259X(73)90029-8zbMath0273.62049MaRDI QIDQ2264530

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)

Related Items (6)

Fitting time series models to nonstationary processes ⋮ Large deviation principle for linear processes generated by real stationary sequences under the sub-linear expectation ⋮ Effects of misspecification of lag structure in certain two-variable distributed lag models ⋮ Estimation of impulse response functions using long autoregression ⋮ Unnamed Item ⋮ Estimation of parameters for a linear difference equation with application to EEG analysis

Cites Work

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• The uniform convergence of autocovariances
• The estimation of frequency
• Non-linear time series regression
• Parameter Estimation for an $R$-Dimensional Plane Wave Observed with Additive Independent Gaussian Errors
• Central limit theorems for time series regression
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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