Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms

DOI10.1016/j.jmva.2008.05.008zbMath1294.62189OpenAlexW1976899784MaRDI QIDQ1000570

Dietmar Bauer

Publication date: 9 February 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.05.008

zbMATH Keywords

subspace methodsmultivariate modelsARMAX systems

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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