Identification of multivariate ARMA models

DOI10.1007/BF02011890zbMath0923.62097OpenAlexW2022873788MaRDI QIDQ1286663

Guibin Li

Publication date: 31 October 1999

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

Full work available at URL: https://doi.org/10.1007/bf02011890

zbMATH Keywords

central limit theoremlaw of iterated logarithmARMA modelsCLTmultiple time seriesVARMALILestimates of orders

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Cites Work

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• Extimation and structure determination of multivariate input systems
• Recursive method for ARMA model estimation. I