ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP (Q4021568)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP |
scientific article |
Statements
ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP (English)
0 references
16 January 1993
0 references
identification
0 references
canonical correlations
0 references
time series
0 references
zero-mean weakly stationary stochastic process
0 references
continuous, positive spectral density
0 references
\(\text{ARMA}(p,q)\) model
0 references
bootstrap procedure
0 references
resampling
0 references
residuals
0 references
asymptotic validity
0 references
vector autocorrelation estimates
0 references
simulations
0 references
examples
0 references
large-sample Gaussian approximations
0 references
