The specification of vector autoregressive moving average models

Koreisha, Sergio G. and Pukkila, Tarmo (2004) The specification of vector autoregressive moving average models. Journal of Statistical Computation And Simulation, 74 8: 547-565. doi:10.1080/00949650310001616559

Author Koreisha, Sergio G.
Pukkila, Tarmo
Title The specification of vector autoregressive moving average models
Journal name Journal of Statistical Computation And Simulation   Check publisher's open access policy
ISSN 0094-9655
Publication date 2004
Sub-type Article (original research)
DOI 10.1080/00949650310001616559
Volume 74
Issue 8
Start page 547
End page 565
Total pages 19
Editor R. Krutchkoff
Place of publication New York, N.Y. U.S.A.
Publisher Gordon and Breach Science Publishers.
Collection year 2004
Language eng
Subject C1
230203 Statistical Theory
729999 Economic issues not elsewhere classified
Abstract In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.
Keyword Computer Science, Interdisciplinary Applications
Statistics & Probability
Generalized Least Squares Estimation
Multivariate White Noise
Order Determination
Nonzero Elements
Q-Index Code C1

Document type: Journal Article
Sub-type: Article (original research)
Collections: School of Mathematics and Physics
2005 Higher Education Research Data Collection
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Created: Wed, 15 Aug 2007, 03:21:45 EST