scientific article; zbMATH DE number 811061
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Publication:4852355
parameter constraintsvector time seriesVARMA modelsVAR modelstesting for nonnormalitystructure determinationstructural changestationaritystate-space modelsstabilityresidual checkingperiodic VAR modelsparameterizationsasymptotic distributionsorder selectionmultivariate time seriesinvertibilityintervention modelsimpulse response analysish-step ahead predictionforecastsexercisesdifference equation models with exogeneous variablescointegrated VAR modelscausality
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Identification in stochastic control theory (93E12)
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