IDENTIFICATION OF ECHELON CANONICAL-FORMS FOR VECTOR LINEAR-PROCESSES USING LEAST-SQUARES

• 成果类型: Article
• 署名作者: POSKITT, DS
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176348518
• 发表日期: 1992
• 页码: 195-215
• 关键词: MULTIPLE TIME-SERIES; average order determination; hannan-rissanen strategy; MODEL

摘要

In this paper a method of identifying stationary and invertible vector autoregressive moving-average time series is proposed. The models are presumed to be represented in (reversed) echelon canonical form. Consideration is given to both parameter estimation and the determination of structural indices, the evaluations being based on the use of closed form least squares calculations. Consistency of the technique is shown and the operational characteristics of the procedure when employed as a means of approximating more general processes is discussed.