Identification of refined ARMA echelon form models for multivariate time series

DOI10.1006/jmva.1996.0011zbMath0885.62104OpenAlexW2041887725MaRDI QIDQ1914685

Saïd Nsiri, Roch Roy

Publication date: 5 August 1996

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

Full work available at URL: https://doi.org/10.1006/jmva.1996.0011

zbMATH Keywords

Hankel matrixcanonical representationARMA modelKronecker indicesidentfiability

Mathematics Subject Classification ID

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

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Estimating structural VARMA models with uncorrelated but non-independent error terms ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models

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