Contemporaneous bivariate time series

DOI10.1093/biomet/74.1.103zbMath0616.62121OpenAlexW2051834668MaRDI QIDQ4725564

A. Ian McLeod, Franklin Camacho, Keith William Hipel

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.1.103

zbMATH Keywords

Granger causalitymultiple time seriesautoregressive-moving average time seriescontemporaneous bivariate ARMA modelsdiagonal parameter matricesefficient maximum likelihood algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Multivariate contemporaneous ARMA model with hydrological applications ⋮ Optimal non-anticipative scenarios for nonlinear hydro-thermal power systems ⋮ Non-anticipative risk-averse analysis with effective scenarios applied to long-term hydrothermal scheduling

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