Identifiability of structural singular vector autoregressive models

DOI10.1111/jtsa.12576zbMath1469.62336arXiv1910.04096OpenAlexW2979925231MaRDI QIDQ5001027

Alexander Braumann, Bernd Funovits

Publication date: 16 July 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.04096

zbMATH Keywords

identifiabilitystochastic singularitystructural vector autoregressive models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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