SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES

DOI10.1111/J.1467-9892.1981.TB00309.XMaRDI QIDQ3968342zbMATH OpenOpenAlexFDO

Authors Gwilym Jenkins, A. Alavi

Publication date 1981

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1981.tb00309.x

zbMATH Keywords

checkingfittingforecasting multivariate time seriesidentificationmodellingprewhiteningstochastic seasonal patternsstochastic trends

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites work

• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• scientific article; zbMATH DE number 3649876 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Intervention Analysis with Applications to Economic and Environmental Problems
• Modeling Multiple Times Series with Applications
• The effect of transformations of variables upon their correlation coefficients
• The exact likelihood function for a mixed autoregressive-moving average process
• The likelihood function of stationary autoregressive-moving average models

Cited in

(7)

• Testing causality using efficiently parametrized vector ARMA models
• Multivariate time series analysis with state space models
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• Computing white stylized facts on comovement.
• A specification strategy for order determination in arma models
• Identification of canonical models for vectors of time series: a subspace approach
• Vector moving average models: a review

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