๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Outliers in a multivariate autoregressive moving-average process

โœ Scribed by Wolfgang Schmid


Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
800 KB
Volume
36
Category
Article
ISSN
0304-4149

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Bootstrapping Autoregressive and Moving
โœ Efstathios Paparoditis ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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 ร„ at an appr

ANALYSIS OF A MULTIVARIATE AUTOREGRESSIV
โœ J. Lardies ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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