On the use of autoregressive order determination criteria in multivariate white noise tests
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Publication:3804044
DOI10.1109/29.90367zbMath0656.62099MaRDI QIDQ3804044
P. R. Krishnaiah, Tarmo M. Pukkila
Publication date: 1988
Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/29.90367
AIC; BIC; multivariate time series; multivariate autoregressive moving average models; autoregressive order determination criteria; multivariate white noise tests
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H15: Hypothesis testing in multivariate analysis
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