scientific article; zbMATH DE number 2148870

zbMATH Open1059.62097MaRDI QIDQ4660423FDOQ4660423

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

Publication date: 21 March 2005

Title of this publication is not available (Why is that?)

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

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)

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

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)