Vector autoregressive moving average models

Scherrer, Wolfgang and Deistler, Manfred (2019) Vector autoregressive moving average models. In: Rao, C.R., (ed.) Handbook of Statistics: Conceptual Econometrics Using R. Handbook of Statistics, 41. Oxford: North Holland/Elsevier, pp. 145-191.

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Item Type: Book Contribution
Keywords: Vector autoregressive moving average process, State space model, Identifiability, Parameter estimation, Model selection
Research Units: IHS general publications
Status: Published
Date Deposited: 23 May 2019 12:10
Last Modified: 16 Sep 2019 09:02
Identification Number or DOI: 10.1016/bs.host.2019.01.004
ISBN: 978-0-444-64311-7
URI: https://irihs.ihs.ac.at/id/eprint/5056

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