In the present article, we are interested in the identification of canonical ARMA echelon form models represented in a ``refined'' form. An identification procedure for such models is given by Tsay (J. Time Ser. Anal. 10 (1989), 357 372). This procedure is based on the theory of canonical analysis.
โฆ LIBER โฆ
A note on identification of multivariate time-series models
โ Scribed by Agustin Maravall
- Publisher
- Elsevier Science
- Year
- 1981
- Tongue
- English
- Weight
- 505 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
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## Abstract We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to a marginal distribution and el