Elements of multivariate time series analysis

zbMath0783.62072MaRDI QIDQ5894742

Gregory C. Reinsel

Publication date: 20 October 1993

Published in: Springer Series in Statistics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationnumerical examplescanonical correlation analysiscointegrationleast squaresforecastingstate-space modelsstationary processesexercisesproblemsresidualscanonical structurereduced rank structureautocovariancemultiple time seriesstructural indicesKalman filtering techniquesdata setsautocorrelation matricesmodel checking diagnosticsmodeling of multivariate time seriesmultivariate unit-root modelsnonstationary co-integrated modelsscalar component modelsvector ARMA models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Related Items (34)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case ⋮ A general result on the estimation bias of ARMA models ⋮ A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm ⋮ Measuring the Advantages of Multivariate vs. Univariate Forecasts ⋮ The effect of autocorrelation on the diagnostic procedures ⋮ An adaptive variable-parameters scheme for the simultaneous monitoring of the mean and variability of an autocorrelated multivariate normal process ⋮ Control charts for high-dimensional time series with estimated in-control parameters ⋮ A note on the modelling and analysis of vector ARMA processes with nonstationary innovations ⋮ BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS ⋮ Necessary and sufficient conditions for AR vector processes to be stationary: applications in information theory and in statistical signal processing ⋮ Ewma charts for multivariate time series ⋮ Multivariate Time Series Decomposition into Oscillation Components ⋮ Clustering multivariate time series by genetic multiobjective optimization ⋮ Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model ⋮ Forecasting Social Security Actuarial Assumptions ⋮ Principal component analysis for second-order stationary vector time series ⋮ On The Peña–Box Model ⋮ Identification of vector AR models with recursive structural errors using conditional independence graphs ⋮ Bootstrap based inference for sparse high-dimensional time series models ⋮ The estimation of frequency in the multichannel sinusoidal model ⋮ A Parametric approach to the Estimation of Cointegration Vectors in Panel Data ⋮ A Note on the Specification and Estimation of ARMAX Systems ⋮ Testing the Fit of a Vector Autoregressive Moving Average Model ⋮ Noncausal vector AR processes with application to economic time series ⋮ Atmospheric $$\hbox {CO}_2$$ and Global Temperatures: The Strength and Nature of Their Dependence ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap ⋮ Flexible and Robust Mixed Poisson INGARCH Models ⋮ Using ARMA models to forecast workpiece roundness error in a turning operation ⋮ Fourth-order moments of augmented arch processes ⋮ Forecasting Composite Indicators with Anticipated Information: An Application to the Industrial Production Index ⋮ The importance of common cyclical features in VAR analysis: A Monte-Carlo study. ⋮ Bootstrap order selection for autoregressive models

Uses Software

• SAS

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