A Unified Approach to Identifying Multivariate Time Series Models
From MaRDI portal
Publication:4216972
DOI10.2307/2670127zbMath0926.62083MaRDI QIDQ4216972
Publication date: 28 November 1999
Full work available at URL: https://doi.org/10.2307/2670127
Hankel matrix; Metropolis algorithm; Gibbs sampling; model specification; echelon form; Kronecker index; vector autoregressive moving average model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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