Multivariate linear time series models

DOI10.2307/1427286zbMath0547.62059OpenAlexW2330166836MaRDI QIDQ3339130

E. J. Hannan, Laimonis Kavalieris

Publication date: 1984

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427286

zbMATH Keywords

algorithmssimulation resultsKalman filtercentral limit theoremanalytic manifoldmartingale differenceslaw of iterated logarithmautoregressionAICBICmoving averagemodel fittingechelon formasymptotically efficient estimationMcMillan degreeorder determinationuniform rates of convergencestate-space formsARMAX systemsLevinson-Whittle recursionalgebraic and topological structurecoordinate neighbourhoodsmatrix transfer functionsmultivariate linear time series modelsrank of Hankel matrixrational transfer function linear systemsToeplitz regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Inference from stochastic processes (62M99)

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