Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
From MaRDI portal
Publication:4720612
DOI10.1080/03610928708829352zbMath0613.62113MaRDI QIDQ4720612
Gregory C. Reinsel, Sung K. Ahn
Publication date: 1987
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928708829352
asymptotic distribution; prediction mean square error; fitted multivariate reduced rank autoregressive model; portmanteau test for model adequacy; residual autocovariance matrices
62H10: Multivariate distribution of statistics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
- Unnamed Item
- Diagnostic tests for multiple time series models
- Reduced-rank regression for the multivariate linear model
- Generalized canonical analysis for time series
- Distribution of residual autocorrelations in multivariate autoregressive index models
- Reduced rank models for multiple time series
- Predictions of multivariate autoregressive-moving average models
- Some results on multivariate autoregressive index models