A direct approach to derive dependence properties among the hitting times of two processes has been initiated by N. Ebrahimi (1987, J. Appl. Probab. 24 115-122) and explored further by N. Ebrahimi and T. Ramalingam (1988, J. Appl. Probab. 25 355-362; 1989, J. Appl. Probab. 26 287-295). In this paper
β¦ LIBER β¦
A weakly dependence structure of multivariate processes
β Scribed by Jong-Il Baek
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 443 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0167-7152
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This paper deals with the estimation of the order, the parameters, and the spectrum of a process modeled by a multivariate autoregressive time series. When large samples are available, the order of a noisy multivariate autoregressive process is determined (independently of the probability law govern