Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
DOI10.1080/07474938.2011.607088zbMATH Open1491.62085OpenAlexW2035435250MaRDI QIDQ5080137FDOQ5080137
Authors: George Athanasopoulos, D. S. Poskitt, Farshid Vahid 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2007/wp10-07.pdf
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- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Identification of canonical models for vectors of time series: a subspace approach
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- On weak identification in structural VARMA models
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- A complete VARMA modelling methodology based on scalar components
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