On the identifiability of minimal VARMA representations
type: Item
instance of: scholarly article
title: On the identifiability of minimal VARMA representations
zbMATH Open document ID: 0919.62103
DOI: 10.1023/A:1009955223247
author: C. Francq
author: Alain Berlinet
published in: Statistical Inference for Stochastic Processes
publication date: 1999-08-16T00:00:00Z
review text: It is well known that, in general, the minimal orders of VARMA processes are not unique. For example, a VARMA process may admit both an AR(1) and an MA(1) representation without being a white noise. The authors propose a way of finding all the minimal orders of the representations of VARMA processes in terms of the autocovariance function and a way of checking whether a representation with minimal orders is identifiable or not. Examples of VARMA processes with zero, one, or several standard identifiable representations are introduced.
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1268656
zbMATH Keywords: identifiability
zbMATH Keywords: identification
zbMATH Keywords: minimal orders
zbMATH Keywords: multivariate ARMA models
reviewed by: Jiří Anděl
MaRDI profile type: Publication
full work available at URL: a:1009955223247
OpenAlex ID: W2592628873
description: scientific article; zbMATH DE number 1268656