A Multivariate Time Series Analysis of Some Flour Price Data

DOI10.2307/2347620MaRDI QIDQ4843983zbMATH OpenOpenAlexFDO

Authors H. Grubb

Publication date 17 August 1995

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2347620

zbMATH Keywords

Akaike's information criterioncase studymodel specificationmultivariate time seriesvector autoregressive moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(3)

• A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables
• Covariance changes detection in multivariate time series
• A complete VARMA modelling methodology based on scalar components

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