Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form

DOI10.1080/07474938.2011.607088zbMath1491.62085OpenAlexW2035435250MaRDI QIDQ5080137

George Athanasopoulos, D. S. Poskitt, Farshid Vahid

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2007/wp10-07.pdf

zbMATH Keywords

identificationmultivariate time seriesSCMcanonical correlationsKronecker index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (6)

Large Bayesian VARMAs ⋮ Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ On weak identification in structural VARMA models ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ USING VARMA TECHNIQUE TO MEASURE THE PERFORMANCE QUALITY OF E-SERVICE-FIFA2014

Uses Software

• forecast
• Forecast

Cites Work

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