Multivariate autoregressive time semes modeling: one scalar autoregressive model at-A-time

DOI10.1080/03610929508831645zbMath0875.62423OpenAlexW2094172484MaRDI QIDQ4337096

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Publication date: 10 November 1997

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929508831645

zbMATH Keywords

Bayesian analysissmoothness priorsstationary time seriesnonstationary time seriesnonstationary covariancemultichannel time series

Mathematics Subject Classification ID

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

Related Items (1)

Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models

Cites Work

• Covariance characterization by partial autocorrelation matrices
• Statistical decision theory. Foundations, concepts, and methods
• On periodic and multiple autoregressions
• A smoothness priors long AR model method for spectral estimation
• Using Periodic Autoregressions for Multiple Spectral Estimation
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• A new look at the statistical model identification

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