- Tytuł:
-
Characterization of the orders in VARMA models
Charakterystyka uporządkowania w modelach VARMA - Autorzy:
-
Gabino, Pestano
Gonzáles Concepcion-Concepcion, Celina - Powiązania:
- https://bibliotekanauki.pl/articles/904611.pdf
- Data publikacji:
- 1997
- Wydawca:
- Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
- Tematy:
-
VARMA models
matrix of plynomials
ranks method
rational representation - Opis:
- In tins paper we present a method which is able to identify the degrees of the matrix polynomials that are involved in the VARMA models. This method is based on the difference between the ranks of certain matrices defined from the sample covariance matrices of the process. The values of the mentioned difference are arranged in tabular from. The specific structure of this table lets us characterize a VARMA (p, q) model. We study the relative significance of certain elements to confirm the used pattern. The proposed procedure is illustrated by data simulations.
- Źródło:
-
Acta Universitatis Lodziensis. Folia Oeconomica; 1997, 141
0208-6018
2353-7663 - Pojawia się w:
- Acta Universitatis Lodziensis. Folia Oeconomica
- Dostawca treści:
- Biblioteka Nauki
Artykuł