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Identification of multivariate ARMA models

Identification of multivariate ARMA models In this paper, we propose the estimates of orders and parameters in identifiable multivariate ARMA models. These estimates are direct and easy to be calculated, and can be proved to follow LIL (Law of iterated logarithm) and CLT (Central limit theorem) under some mild conditions. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Identification of multivariate ARMA models

Acta Mathematicae Applicatae Sinica , Volume 12 (3) – Jul 14, 2005

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Publisher
Springer Journals
Copyright
Copyright © 1996 by Science Press, Beijing, China and Allerton Press, Inc., New York, U.S.A.
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02011890
Publisher site
See Article on Publisher Site

Abstract

In this paper, we propose the estimates of orders and parameters in identifiable multivariate ARMA models. These estimates are direct and easy to be calculated, and can be proved to follow LIL (Law of iterated logarithm) and CLT (Central limit theorem) under some mild conditions.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 14, 2005

References