On multiplicative seasonal modelling for vector time series

DOI10.1016/j.spl.2009.06.017zbMath1171.62053OpenAlexW2031662655MaRDI QIDQ731947

Eugen Ursu, Pierre Duchesne

Publication date: 9 October 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.06.017

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric inference under constraints (62F30) Monte Carlo methods (65C05)

Related Items (1)

Multivariate portmanteau tests for weak multiplicative seasonal VARMA models

Uses Software

• Algorithm 878

Cites Work

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• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Periodic Time Series Models
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

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