On the identification of ARMA echelon-form models

DOI10.2307/3315608MaRDI QIDQ4036388zbMATH OpenOpenAlexFDO

Authors Saïd Nsiri, Roch Roy

Publication date 16 May 1993

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315608

zbMATH Keywords

simulationcanonical analysisspecification errorgraphical representationlinear dependenceidentification proceduredynamic structure of ARMA modelsfinite linear combination of independent chi-square random variablesHankel matrix of serial correlationsmultivariate autoregressive moving average echelon-form models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

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• Computing the distribution of quadratic forms in normal variables
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
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• Stochastic theory of minimal realization
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Cited in

(10)

• ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
• Suboptimal identification of nonlinear ARMA models using an orthogonality approach
• Identification of canonical models for vectors of time series: a subspace approach
• scientific article; zbMATH DE number 4074275 (Why is no real title available?)
• Identification of echelon canonical forms for vector linear processes using least squares
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Use of canonical analysis in time series model identification
• scientific article; zbMATH DE number 4119443 (Why is no real title available?)
• scientific article; zbMATH DE number 19725 (Why is no real title available?)
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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