MARGINALS OF MULTIVARIATE FIRST-ORDER AUTOREGRESSIVE TIME SERIES MODELS

DOI10.1111/J.1467-9892.1988.TB00456.XzbMath0661.62089OpenAlexW2079982024MaRDI QIDQ3810745

Steven C. Hillmer, Antonie Stam

Publication date: 1988

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00456.x

zbMATH Keywords

eigenvalueswhite noisemultiplicitiesGranger causalityARIMAbackward shiftmultiple time seriesmarginal modelsmultivariate first-order autoregressive model

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Causality in temporal systems. Characterizations and a Survey
• Time series analysis and simultaneous equation econometric models
• Multiple Time Series Analysis and the Final Form of Econometric Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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