Some results on multivariate autoregressive index models
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Publication:4747427
DOI10.1093/biomet/70.1.145zbMath0509.62083OpenAlexW2026744322MaRDI QIDQ4747427
Publication date: 1983
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/70.1.145
predictionconsistencyasymptotic normalitymaximum likelihood estimationmodel selectionmultivariate autoregressive index modelsindex seriesmodel dimension reduction
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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