Two canonical VARMA forms: scalar component models vis-à-vis the echelon form

DOI10.1080/07474938.2011.607088MaRDI QIDQ5080137zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

identificationmultivariate time seriescanonical correlationsKronecker indexSCM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

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Cited in

(10)

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• Large Bayesian VARMAs
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
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• Using VARMA technique to measure the performance quality of E-service-FIFA2014
• 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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