Use of canonical analysis in time series model identification

DOI10.1093/biomet/72.2.299zbMath0576.62084OpenAlexW1964740065MaRDI QIDQ3696345

George C. Tiao, Ruey S. Tsay

Publication date: 1985

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/72.2.299

zbMATH Keywords

time serieseigenvalueseigenvectorscanonical correlation analysissimulation studyleast squares estimatessecond-order moment structureautocovariancesconsistency propertiesidentification proceduretwo-way tablesample autocorrelationextendedARMA(p,q) modelorder specificationstationary or nonstationary autoregressive-moving average models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12)

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