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Identification of multivariate ARMA models

โœ Scribed by Guibin Li


Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
1996
Tongue
English
Weight
636 KB
Volume
12
Category
Article
ISSN
0168-9673

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๐Ÿ“œ SIMILAR VOLUMES


Identification of Refined ARMA Echelon F
โœ Saฤฑฬˆd Nsiri; Roch Roy ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 832 KB

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.

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In this paper multivariate ARMA models are applied to the problem of forecasting city budget variables. Unlike univariate time-series methods, multivariate models can use relationships among budget variables as well as relationships with economic and demographic indicators. Although available budget