The structure of multivariate AR and ARMA systems: regular and singular systems the single -- and the mixed frequency case

zbMATH Open1476.62175MaRDI QIDQ5149192FDOQ5149192

Authors: Manfred Deistler, Elisabeth Felsenstein, Lukas Koelbl, Brian D. O. Anderson 

Publication date: 6 February 2021

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• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
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• scientific article; zbMATH DE number 4111699

Mathematics Subject Classification ID

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

Cited In (5)

• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• AR systems and AR processes: the singular case
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Singular arma systems: a structure theory

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