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Multivariate analysis of dynamical processes

✍ Scribed by K. Henschel; B. Hellwig; F. Amtage; J. Vesper; M. Jachan; C. H. Lücking; J. Timmer; B. Schelter


Book ID
111633656
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
411 KB
Volume
165
Category
Article
ISSN
1951-6355

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✍ J. Lardies 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 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