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Autoregressive representations of multivariate stationary stochastic processes

✍ Scribed by Mohsen Pourahmadi


Publisher
Springer
Year
1988
Tongue
English
Weight
453 KB
Volume
80
Category
Article
ISSN
1432-2064

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πŸ“œ SIMILAR VOLUMES


ANALYSIS OF A MULTIVARIATE AUTOREGRESSIV
✍ J. Lardies πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 273 KB

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