On the identification of ARMA echelon-form models

DOI10.2307/3315608zbMath0765.62084OpenAlexW1987218460MaRDI QIDQ4036388

Saïd Nsiri, Roch Roy

Publication date: 16 May 1993

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315608

zbMATH Keywords

simulationlinear dependencecanonical analysisspecification errorgraphical representationidentification proceduredynamic structure of ARMA modelsfinite linear combination of independent chi-square random variablesHankel matrix of serial correlationsmultivariate autoregressive moving average echelon-form models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes (62M99)

Related Items (1)

Exact maximum likelihood estimation of structured or unit root multivariate time series models

Cites Work

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• Stochastic theory of minimal realization
• Vector Cross-Correlation in Time Series and Applications
• Computing the distribution of quadratic forms in normal variables
• A new look at the statistical model identification

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