MODELLING JOINT AUTOREGRESSIVE MOVING AVERAGE PROCESSES

DOI10.1017/S000497271800062XzbMath1401.62142MaRDI QIDQ4684277

Ross S. Bowden

Publication date: 27 September 2018

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

estimationtime serieshypothesis testsjoint autoregressive moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• A single series representation of multiple independent ARMA processes
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES

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