Margin‐closed vector autoregressive time series models

DOI10.1111/jtsa.12712arXiv2211.11898OpenAlexW4385704872MaRDI QIDQ6194055

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Publication date: 14 February 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.11898

zbMATH Keywords

conditional independenceVAR modelsGaussian copulasclosure under marginsmulti-variate time series

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

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• Linear transformations of vector ARMA processes
• Copula-Based Multivariate Input Models for Stochastic Simulation
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• A Skew Extension of the T-Distribution, with Applications
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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