Vector linear time series models

DOI10.2307/1425908zbMATH Open0327.62055OpenAlexW1968624811MaRDI QIDQ4092809FDOQ4092809

Authors: William T. M. Dunsmuir, E. J. Hannan 

Publication date: 1976

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1425908

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15)

Cited In (91)

• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• Optimal instrumental variables estimation for ARMA models
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• Gaussian estimation of first order time series models with Bernoulli observations
• A limit theory for long-range dependence and statistical inference on related models
• Statistical inference using higher-order information
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• Minimum contrast estimation of random processes based on information of second and third orders
• Asymptotic theory for a vector ARMA-GARCH model
• Multivariate contemporaneous ARMA model with hydrological applications
• Some properties of the parameterization of ARMA systems with unknown order
• A multivariate threshold varying conditional correlations model
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• The information matrices of the parameters of multiple mixed time series
• Title not available (Why is that?)
• Spectra of bivariate \(\mathrm{VAR}(p)\) models
• Recursive solution methods for dynamic linear rational expectations models
• ARMA canonical forms obtained from constructibility invariants
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• On multiplicative seasonal modelling for vector time series
• A goodness-of-fit test for VARMA\((p, q)\) models
• Seasonally and approximation errors in rational expectations models
• The estimation of systems of joint differential-difference equations
• On system identification for linear minimum variance prediction or control
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Computationally efficient methods for two multivariate fractionally integrated models
• Estimation of vector Armax models
• A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Asymptotic normality of spectral estimates
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
• Spectral estimation of a structural thin-plate smoothing model
• A semiparametric two-step estimator in a multivariate long memory model
• The uniqueness of the transfer function of linear systems from input- output observations
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Estimating the dimension of a linear system
• Outliers in a multivariate autoregressive moving-average process
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Autoregressive models for matrix-valued time series
• Modeling of time series arrays by multistep prediction or likelihood methods.
• Local and global identification and strong consistency in time series models
• Estimating linear representations of nonlinear processes
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• The ARMA alphabet soup: a tour of ARMA model variants
• Granger-causality in multiple time series
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• ARMA models, their Kronecker indices and their McMillan degree
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• On the martingale approximation of the estimation error of ARMA parameters
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
• Selection of weak VARMA models by modified Akaike's information criteria
• On selection of the order of the spectral density model for a stationary process
• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• A new non‐parametric cross‐spectrum estimator
• Whittle estimation for continuous-time stationary state space models with finite second moments
• A recursive approach to time-series analysis for multi-variable systems
• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• Dirichlet ARMA models for compositional time series
• A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• Efficient tapered local Whittle estimation of multivariate fractional processes
• A simulation algorithm for non-causal VARMA processes
• A spectral EM algorithm for dynamic factor models
• Realized stochastic volatility with general asymmetry and long memory
• Matrix-variate time series analysis: a brief review and some new developments
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• Test de hipotesis para contrastar modelos MARMA de series temporales
• Parameter Estimation Robust to Low-Frequency Contamination
• Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models
• Multivariate hyper-rotated GARCH-BEKK
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Estimating systems of trending variables
• ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator

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