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The Identification of Vector Mixed Autoregressive-Moving Average Systems

✍ Scribed by E. J. Hannan


Book ID
124279837
Publisher
Oxford University Press
Year
1969
Tongue
English
Weight
396 KB
Volume
56
Category
Article
ISSN
0006-3444

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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