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

DOI10.1080/03610929508831645zbMATH Open0875.62423OpenAlexW2094172484MaRDI QIDQ4337096FDOQ4337096

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

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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)

Cites Work

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