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 predictionmultistep predictionmultivariate autoregressionrecursive autoregressionVAR processes

Mathematics Subject Classification ID

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

Recommendations

• A comparison of multivariate autoregressive estimators
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• scientific article; zbMATH DE number 4143298

Cited in

(6)

• A comparison of multivariate autoregressive estimators
• Generalized Levinson--Durbin and Burg algorithms.
• Asymptotic properties of some subset vector autoregressive process 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

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