scientific article; zbMATH DE number 2148870

zbMath1059.62097MaRDI QIDQ4660423

A. Alexandre Trindade, Rainer Dahlhaus, Peter J. Brockwell

Publication date: 21 March 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

linear predictionmultivariate autoregressionmultistep predictionrecursive autoregressionVAR processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (4)

Asymptotic properties of some subset vector autoregressive process estimators ⋮ Simultaneous confidence bands for sequential autoregressive fitting ⋮ Practical small sample inference for single lag subset autoregressive models ⋮ Simultaneous confidence bands for Yule-Walker estimators and order selection

Uses Software

• bdt

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