Vector linear time series models: corrections and extensions

DOI10.2307/1426940MaRDI QIDQ4166099zbMATH OpenOpenAlexFDO

Authors Manfred Deistler, William T. M. Dunsmuir, E. J. Hannan

Publication date 1978

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1426940

Mathematics Subject Classification ID

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

Cited in

(29)

• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• Properties of the parametrization of monic ARMA systems
• Local identification of ARMAX structures subject to nonlinear constraints
• Estimation of vector Armax models
• Some properties of the parameterization of ARMA systems with unknown order
• Estimating the dimension of a linear system
• Seasonally and approximation errors in rational expectations models
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• Modeling of time series arrays by multistep prediction or likelihood methods.
• The common structure of parametrizations for linear systems
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• Whittle estimation for continuous-time stationary state space models with finite second moments
• Modified Whittle estimation of multilateral models on a lattice
• MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES
• Test de hipotesis para contrastar modelos MARMA de series temporales
• A NOTE ON ARMA ESTIMATION
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• System order and structure indices of linear systems in polynomial form
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Test for Parameter Change in Linear Processes Based on Whittle's Estimator
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Direct iterative tuning via spectral analysis
• Optimal instrumental variables estimation for ARMA models
• The ET interview: Benedikt M. Pötscher
• Vector moving average models: a review
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• On multiplicative seasonal modelling for vector time series
• Outliers in a multivariate autoregressive moving-average process

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