A Unified Approach to Identifying Multivariate Time Series Models

DOI10.2307/2670127zbMath0926.62083OpenAlexW4239795583MaRDI QIDQ4216972

Hong Li, Ruey S. Tsay

Publication date: 28 November 1999

Full work available at URL: https://doi.org/10.2307/2670127

zbMATH Keywords

Hankel matrixMetropolis algorithmGibbs samplingmodel specificationechelon formKronecker indexvector autoregressive moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Large Bayesian VARMAs ⋮ Two-step adaptive model selection for vector autoregressive processes ⋮ A likelihood based estimator for vector autoregressive processes ⋮ Time dependent neural network models for detecting changes of state in complex processes: applications in earth sciences and astronomy. ⋮ Model specification and selection for multivariate time series ⋮ Subset selection for vector autoregressive processes using Lasso

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