scientific article; zbMATH DE number 2148870

MaRDI QIDQ4660423zbMATH OpenFDO

Authors R. Dahlhaus, A. Alexandre Trindade, Peter J. Brockwell

Publication date 21 March 2005

zbMATH Keywords

linear predictionmultivariate autoregressionmultistep predictionrecursive autoregressionVAR processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

Recommendations

• A comparison of multivariate autoregressive estimators
• Asymptotic properties of some subset vector autoregressive process estimators
• Generalized Levinson--Durbin and Burg algorithms.
• Partial autocorrelation parameterization for subset autoregression
• Publication:3474001

Cited in

(6)

• Generalized Levinson--Durbin and Burg algorithms.
• Asymptotic properties of some subset vector autoregressive process estimators
• A comparison of multivariate autoregressive estimators
• Practical small sample inference for single lag subset autoregressive models
• Simultaneous confidence bands for sequential autoregressive fitting
• Simultaneous confidence bands for Yule-Walker estimators and order selection

Describes a project that uses

Uses Software

• bdt

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4660423)