A complete VARMA modelling methodology based on scalar components

DOI10.1111/J.1467-9892.2007.00568.XMaRDI QIDQ3552837zbMATH OpenOpenAlexFDO

Authors George Athanasopoulos, Farshid Vahid

Publication date 22 April 2010

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00568.x

zbMATH Keywords

identificationmultivariate time series

Mathematics Subject Classification ID

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

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Cites work

• A Multivariate Time Series Analysis of Some Flour Price Data
• Codependent cycles
• Forecasting and testing in co-integrated systems
• Large Sample Properties of Generalized Method of Moments Estimators
• Recursive estimation of mixed autoregressive-moving average order
• Testing multiple equation systems for common nonlinear components

Cited in

(10)

• Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• Using VARMA technique to measure the performance quality of E-service-FIFA2014
• A note on the initial identification of scalar component models
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• A type of matrix Padé approximant inspired by scalar component models
• Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• On weak identification in structural VARMA models
• Estimation and forecasting in vector autoregressive moving average models for rich datasets

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