Multivariate autoregressive time semes modeling: one scalar autoregressive model at-A-time

DOI10.1080/03610929508831645MaRDI QIDQ4337096zbMATH OpenOpenAlexFDO

Authors

Publication date 10 November 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831645

zbMATH Keywords

Bayesian analysisstationary time seriesnonstationary time seriesnonstationary covariancesmoothness priorsmultichannel time series

Mathematics Subject Classification ID

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

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Cites work

• A new look at the statistical model identification
• A smoothness priors long AR model method for spectral estimation
• Covariance characterization by partial autocorrelation matrices
• On periodic and multiple autoregressions
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Statistical decision theory. Foundations, concepts, and methods
• Using Periodic Autoregressions for Multiple Spectral Estimation

Cited in

(3)

• Single‐Index Additive Vector Autoregressive Time Series Models
• Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models
• Time-frequency analysis of multichannel signals using two-sided autoregressive modeling

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