Contemporaneous bivariate time series

DOI10.1093/BIOMET/74.1.103MaRDI QIDQ4725564zbMATH OpenOpenAlexFDO

Authors 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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