An equivalent canonical form for multiple time series

DOI10.1007/BF02007666zbMath0636.62091MaRDI QIDQ1098209

Jianxin Wang, Zhifang Zhang

Publication date: 1987

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

simulationssingle equationsimultaneous equationsequivalence transformationequivalent canonical form VARTMAmultiple time series modelspolynomial matrix theoryVARMA model

Mathematics Subject Classification ID

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

Cites Work

• Modeling Multiple Times Series with Applications
• Parameter estimation in multivariate stochastic difference equations

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