Identification of echelon canonical forms for vector linear processes using least squares

DOI10.1214/aos/1176348518zbMath0756.62033OpenAlexW2089155713MaRDI QIDQ1192964

D. S. Poskitt

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348518

zbMATH Keywords

identificationconsistencytransfer functionleast squares regressionspeed of convergenceKronecker indicesechelon canonical formclosed form least squares calculationsdetermination of structural indicesstationary, invertible vector autoregressive moving-average time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Related Items (12)

Large Bayesian VARMAs ⋮ Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Consistency and relative efficiency of subspace methods ⋮ Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form ⋮ A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ Model specification and selection for multivariate time series ⋮ On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models ⋮ ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

This page was built for publication: Identification of echelon canonical forms for vector linear processes using least squares