The specification of vector autoregressive moving average models

DOI10.1080/00949650310001616559zbMath1045.62088OpenAlexW1995992024MaRDI QIDQ4818621

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 29 September 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650310001616559

zbMATH Keywords

IdentificationOrder determinationGeneralized least squares estimationAutoregressionsMultivariate white noise

Mathematics Subject Classification ID

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

Related Items (1)

Estimation and forecasting in vector autoregressive moving average models for rich datasets

This page was built for publication: The specification of vector autoregressive moving average models