ORDERS AND INITIAL VALUES OF NON-STATIONARY MULTIVARIATE ARMA MODELS

DOI10.1111/J.1467-9892.1990.TB00063.XzbMATH Open0716.62090OpenAlexW2110231539MaRDI QIDQ3203889FDOQ3203889

Authors: A. L. Swift 

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00063.x

Recommendations

• Use of canonical analysis in time series model identification
• Identification of multivariate ARMA models
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• Identification of refined ARMA echelon form models for multivariate time series
• ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP

zbMATH Keywords

identificationnon-stationary modelorder determinationAkaike's stepwise canonical correlations procedureconsistent least-squares estimatorsMA ordersmultivariate autoregressive moving-average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimating the dimension of a model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A canonical analysis of multiple time series
• Multiple Time Series Regression with Integrated Processes
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Asymptotic properties of projections with applications to stochastic regression problems
• Stochastic theory of minimal realization
• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Markovian Representation of Stochastic Processes by Canonical Variables
• Order selection in nonstationary autoregressive models
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS

Cited In (6)

• Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
• Identification of echelon canonical forms for vector linear processes using least squares
• Use of canonical analysis in time series model identification
• A NOTE ON NON-STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS
• Order Reductions of the Marginals and Identification of Multiple ARMA Models
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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