ESTIMATION OF VECTOR ARMAX MODELS

被引:50
作者
HANNAN, EJ
DUNSMUIR, WTM
DEISTLER, M
机构
[1] MIT,CAMBRIDGE,MA 02139
[2] VIENNA TECH UNIV,A-1040 VIENNA,AUSTRIA
关键词
D O I
10.1016/0047-259X(80)90050-0
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:275 / 295
页数:21
相关论文
共 14 条
[1]  
Akaike H, 1976, SYSTEM IDENTIFICATIO, P27, DOI [10.1016/s0076-5392(08)60869-3, DOI 10.1016/S0076-5392(08)60869-3, 10.1016/S0076-5392(08)60869-3]
[2]  
CLARK JMC, 1976, JACC
[3]   VECTOR LINEAR TIME-SERIES MODELS - CORRECTIONS AND EXTENSIONS [J].
DEISTLER, M ;
DUNSMUIR, W ;
HANNAN, EJ .
ADVANCES IN APPLIED PROBABILITY, 1978, 10 (02) :360-372
[4]   VECTOR LINEAR TIME SERIES MODELS [J].
DUNSMUIR, W ;
HANNAN, EJ .
ADVANCES IN APPLIED PROBABILITY, 1976, 8 (02) :339-364
[6]  
Hannan E.J., 1979, DEV STAT, V2, P83
[7]   IDENTIFICATION PROBLEM FOR MULTIPLE EQUATION SYSTEMS WITH MOVING AVERAGE ERRORS [J].
HANNAN, EJ .
ECONOMETRICA, 1971, 39 (05) :751-&
[8]   ASYMPTOTIC THEORY OF LINEAR TIME-SERIES MODELS [J].
HANNAN, EJ .
JOURNAL OF APPLIED PROBABILITY, 1973, 10 (01) :130-145
[9]  
HANNAN EJ, 1979, J STOCH P APPL, V9, P281
[10]  
Hannan J., 2013, TECH NOTE, V43153