DISTRIBUTION FOR RESIDUAL AUTOCOVARIANCES IN MULTIVARIATE AUTOREGRESSIVE MODELS WITH STRUCTURED PARAMETERIZATION
成果类型：
Article
署名作者：
AHN, SK
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
发表日期：
1988
页码：
590593
关键词：
摘要：
The asymptotic distribution is derived for residual autocovariances in the multivariate autoregressive model with structured parameterization, a form often employed in multivariate time series modelling to achieve parsimony. It is shown that a similar result for the asymptotic distribution of a portmanteau statistic for the usual full-rank autoregressive-moving average model can be extended to the autoregressive model with structured parameterization.