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
β¦ LIBER β¦
Parameter estimation of an autoregressive moving average model
β Scribed by Junji Nakano
- Publisher
- Springer Japan
- Year
- 1982
- Tongue
- English
- Weight
- 360 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0020-3157
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