Estimating the orders of weak multivariate ARMA models

DOI10.1016/J.CRMA.2011.04.012zbMath1216.62144OpenAlexW1972651900MaRDI QIDQ550426

Yacouba Boubacar Maïnassara

Publication date: 8 July 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2011.04.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Regression and time series model selection in small samples
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
• Unnamed Item

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