Generalized autocovariance matrices for multivariate time series (Q6549228)

scientific article; zbMATH DE number 7859033

Language	Label	Description	Also known as
English	Generalized autocovariance matrices for multivariate time series	scientific article; zbMATH DE number 7859033

Statements

instance of

scholarly article

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title

Generalized autocovariance matrices for multivariate time series (English)

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author

Maddalena Cavicchioli

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published in

Communications in Statistics. Theory and Methods

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publication date

3 June 2024

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INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS

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Markov-switching BILINEAR − GARCH models: Structure and estimation

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QMLE of periodic time-varying bilinear– GARCH models

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Whittle estimation in multivariate CCC-GARCH processes

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Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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Q3947020

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Time series: theory and methods

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Spectral density of Markov-switching VARMA models

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Spectral representation and autocovariance structure of Markov switching DSGE models

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Generalised cepstral models for the spectrum of vector time series

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Goodness-of-fit tests for Markov Switching VAR models using spectral analysis

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THE DISTRIBUTION OF PERIODOGRAM ORDINATES

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Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes

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The Matrix-Logarithmic Covariance Model

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The Inverse Autocorrelations of a Time Series and Their Applications

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Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz

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Nonlinear functionals of the periodogram

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The periodogram of an i.i.d. sequence.

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On the Asymptotic Theory of Fixed-Size Sequential Confidence Bounds for Linear Regression Parameters

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Q3321308

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Q4840212

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Q2885002

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The Cepstral Model for Multivariate Time Series: The Vector Exponential Model

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Q4902474

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The Multivariate Portmanteau Statistic

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Q3925035

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Computational geometry of positive definiteness

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Spectra of bivariate \(\mathrm{VAR}(p)\) models

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Q4742198

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On a measure of lack of fit in time series models

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Q4231779

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Q3145545

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A test of fit in time series models

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Testing the Fit of a Vector Autoregressive Moving Average Model

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The spectral representation of Markov switching ARMA models

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Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis

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Q2754859

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The generalised autocovariance function

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Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

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Generalised Linear Cepstral Models for the Spectrum of a Time Series

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Verification of positive definiteness

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NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

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A goodness-of-fit test for VARMA\((p, q)\) models

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Some asymptotic results for the periodogram of a stationary time series

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Identifiers

DOI

10.1080/03610926.2022.2164465

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Mathematics Subject Classification ID

62-XX

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zbMATH DE Number

7859033

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Sitelinks

Mathematics(1 entry)

mardi Publication:6549228