On multivariate time series model selection involving many candidate VAR models

MaRDI QIDQ2969402zbMATH OpenFDO

Authors Xindong Zhao, Guoqi Qian

Publication date 15 March 2017

Full work available at URL http://www.ejpam.com/index.php/ejpam/article/view/1847

zbMATH Keywords

Gibbs samplervector autoregressive (VAR) modelsmultivariate time series model selection

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

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• On time series model selection involving many candidate ARMA models
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Cited in

(6)

• A Multivariate Time Series Analysis of Some Flour Price Data
• Model selection criteria for reduced rank multivariate time series: a simulation study
• On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
• An efficient branch-and-bound strategy for subset vector autoregressive model selection
• On time series model selection involving many candidate ARMA models
• Deviance information criterion for comparing VAR models

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