Vector linear time series models

DOI10.2307/1425908MaRDI QIDQ4092809zbMATH OpenOpenAlexFDO

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)

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• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
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• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• The uniqueness of the transfer function of linear systems from input- output observations
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• Minimum contrast estimation of random processes based on information of second and third orders
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• Spectral estimation of a structural thin-plate smoothing model
• Autoregressive models for matrix-valued time series
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• The information matrices of the parameters of multiple mixed time series
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• On the martingale approximation of the estimation error of ARMA parameters
• Modeling of time series arrays by multistep prediction or likelihood methods.
• Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
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• A semiparametric two-step estimator in a multivariate long memory model
• On selection of the order of the spectral density model for a stationary process
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• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
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• On multiplicative seasonal modelling for vector time series
• On system identification for linear minimum variance prediction or control
• Optimal instrumental variables estimation for ARMA models
• Multivariate contemporaneous ARMA model with hydrological applications
• Local and global identification and strong consistency in time series models
• Gaussian estimation of first order time series models with Bernoulli observations
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
• Asymptotic normality of spectral estimates
• Estimation of vector Armax models
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems
• The ARMA alphabet soup: a tour of ARMA model variants
• Some properties of the parameterization of ARMA systems with unknown order
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times
• A multivariate threshold varying conditional correlations model
• A goodness-of-fit test for VARMA\((p, q)\) models
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• Estimating linear representations of nonlinear processes
• Recursive solution methods for dynamic linear rational expectations models
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
• Granger-causality in multiple time series
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• Selection of weak VARMA models by modified Akaike's information criteria
• ARMA models, their Kronecker indices and their McMillan degree
• A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
• Whittle parameter estimation for vector ARMA models with heavy-tailed noises
• Matrix-variate time series analysis: a brief review and some new developments
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Realized stochastic volatility with general asymmetry and long memory
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES
• Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• Test de hipotesis para contrastar modelos MARMA de series temporales
• Parameter Estimation Robust to Low-Frequency Contamination
• Multivariate hyper-rotated GARCH-BEKK
• Estimating systems of trending variables
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Dirichlet ARMA models for compositional time series
• ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA
• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• A new non‐parametric cross‐spectrum estimator
• A recursive approach to time-series analysis for multi-variable systems
• 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
• Whittle estimation for continuous-time stationary state space models with finite second moments

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