𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Generalized autoregression and the analysis of dynamical processes

✍ Scribed by A.D Irving; T Dewson


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
842 KB
Volume
20
Category
Article
ISSN
0307-904X

No coin nor oath required. For personal study only.


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

Bootstrapping Autoregressive and Moving
✍ Efstathios Paparoditis πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 925 KB

We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k Γ„ at an appr