Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model
DOI10.1080/03610928708829352zbMath0613.62113OpenAlexW2095081641MaRDI QIDQ4720612
Sung K. Ahn, Gregory C. Reinsel
Publication date: 1987
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928708829352
asymptotic distributionprediction mean square errorfitted multivariate reduced rank autoregressive modelportmanteau test for model adequacyresidual autocovariance matrices
Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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- Diagnostic tests for multiple time series models
- Reduced-rank regression for the multivariate linear model
- Generalized canonical analysis for time series
- Distribution of residual autocorrelations in multivariate autoregressive index models
- Reduced rank models for multiple time series
- Predictions of multivariate autoregressive-moving average models
- Some results on multivariate autoregressive index models
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