Model specification and selection for multivariate time series

DOI10.1016/J.JMVA.2019.104539MaRDI QIDQ2293377zbMATH OpenOpenAlexFDO

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

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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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
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• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION
• A Unified Approach to Identifying Multivariate Time Series Models
• Asymptotically efficient autoregressive model selection for multistep prediction
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• Consistency and asymptotic normality of some subspace algorithms for systems without observed inputs
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Cited in

(14)

• An equivalent canonical form for multiple time series
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• scientific article; zbMATH DE number 775736 (Why is no real title available?)
• Model specification tests for balanced representation state space models
• VAR based state-space structures: realization, statistics and spectral analysis
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS
• scientific article; zbMATH DE number 7219002 (Why is no real title available?)
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Mutual information model selection algorithm for time series
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• Time-reversion of VARMA processes by polynomial methods
• On model selection from a finite family of possibly misspecified time series models
• A complete VARMA modelling methodology based on scalar components
• A novel multivariate time series combination prediction model

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