On the identification of ARMA echelon-form models

DOI10.2307/3315608zbMATH Open0765.62084OpenAlexW1987218460MaRDI QIDQ4036388FDOQ4036388

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

Recommendations

• Identification of refined ARMA echelon form models for multivariate time series
• Identification of a univariate ARMA model
• Use of canonical analysis in time series model identification
• Identification of echelon canonical forms for vector linear processes using least squares
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION

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)

Cites Work

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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
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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