Order determination for multivariate autoregressive processes using resampling methods

DOI10.1006/JMVA.1996.0028zbMath0877.62082OpenAlexW2060646587MaRDI QIDQ1914694

Changhua Chen, Richard A. Davis, Peter J. Brockwell

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.1996.0028

zbMATH Keywords

resamplingAICorder determinationmultivariate \(AR(p)\) modelmultivariate autoregresive processesresampling procedureYule-Walker estimation

Mathematics Subject Classification ID

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

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