The specification of vector autoregressive moving average models

DOI10.1080/00949650310001616559MaRDI QIDQ4818621zbMATH OpenOpenAlexFDO

Authors Sergio G. Koreisha, Tarmo M. Pukkila

Publication date 29 September 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650310001616559

zbMATH Keywords

AutoregressionsGeneralized least squares estimationIdentificationMultivariate white noiseOrder determination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
• Selection of weak VARMA models by modified Akaike's information criteria
• The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
• The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes
• Vector autoregressive moving average models
• Estimating the orders of weak multivariate ARMA models
• Vector moving average models: a review

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