Model Order Estimation of a Multivariable Stochastic Process

DOI10.1080/03610910500308123zbMath1078.62093OpenAlexW2046976334MaRDI QIDQ5719262

Joseph Lardies, Zaka Ratsimalahelo

Publication date: 18 January 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910500308123

zbMATH Keywords

block Hankel matrixstate space modelorder estimationmultivariable process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Inference from stochastic processes (62M99) Random matrices (algebraic aspects) (15B52)

Cites Work

• Unnamed Item
• Estimating the dimension of a model
• State space modeling of multiple time series
• Structure and order estimation of multivariable stochastic processes
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Model specification tests for balanced representation state space models
• Order estimation for subspace methods

This page was built for publication: Model Order Estimation of a Multivariable Stochastic Process