Vector autoregressive moving average models

DOI10.1016/bs.host.2019.01.004zbMath1439.62195OpenAlexW2922005543MaRDI QIDQ5116812

Wolfgang Scherrer, Manfred Deistler

Publication date: 18 August 2020

Published in: Handbook of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/bs.host.2019.01.004

zbMATH Keywords

parameter estimationmodel selectionidentifiabilitystate space modelvector autoregressive moving average process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

VARMA-modeling

Uses Software

• R

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