On the covariance matrix estimators of the white noise process of a vector autoregressive model

DOI10.1080/03610929408831251zbMath0825.62075OpenAlexW2021491160MaRDI QIDQ4843724

No author found.

Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929408831251

zbMATH Keywords

maximum likelihood estimatorbiasYule-Walker estimatorvector autoregressive modelpenalty function identification method

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• SAS/ETS

Cites Work

• Unnamed Item
• Modeling by shortest data description
• ARMA model identification
• Estimating the dimension of a model
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• On the Statistical Treatment of Linear Stochastic Difference Equations
• A new look at the statistical model identification

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