Model specification and selection for multivariate time series

DOI10.1016/J.JMVA.2019.104539zbMATH Open1436.62413OpenAlexW2974388445MaRDI QIDQ2293377FDOQ2293377

Authors: R. J. Bhansali 

Publication date: 5 February 2020

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

Full work available at URL: http://hdl.handle.net/10044/1/76354

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zbMATH Keywords

canonical correlationsstate space representationVARMA modelreversed echelon form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

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Cited In (14)

• An equivalent canonical form for multiple time series
• Title not available (Why is that?)
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• Model specification tests for balanced representation state space models
• VAR based state-space structures: realization, statistics and spectral analysis
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS
• Title not available (Why is that?)
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Mutual information model selection algorithm for time series
• Title not available (Why is that?)
• Time-reversion of VARMA processes by polynomial methods
• A novel multivariate time series combination prediction model
• A complete VARMA modelling methodology based on scalar components
• On model selection from a finite family of possibly misspecified time series models

Uses Software

• timsac

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