Order Reductions of the Marginals and Identification of Multiple ARMA Models

DOI10.1137/0612052zbMath0729.62083OpenAlexW2007591451MaRDI QIDQ3354943

Steven C. Hillmer, Antonie Stam

Publication date: 1991

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0612052

zbMATH Keywords

model identificationmultiple time seriesorder reductionsblock diagonalmarginal modelsblock triangularmarginals of multivariate ARMA time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12) Eigenvalues, singular values, and eigenvectors (15A18) Canonical forms, reductions, classification (15A21)

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