Vector linear time series models: corrections and extensions
- 1 March 1978
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 10 (02) , 360-372
- https://doi.org/10.1017/s0001867800030688
Abstract
In this paper some theorems of Dunsmuir and Hannan [2] are corrected. The topological structure of spaces of (likelihood) equivalence classes of arma structures is more closely investigated and its relation to the statistical problem is elucidated. The formulation is also made more general.Keywords
This publication has 4 references indexed in Scilit:
- The Identification and Parameterization of Armax and State Space FormsEconometrica, 1976
- Vector linear time series modelsAdvances in Applied Probability, 1976
- Minimal Bases of Rational Vector Spaces, with Applications to Multivariable Linear SystemsSIAM Journal on Control, 1975
- The Identification Problem for Multiple Equation Systems with Moving Average ErrorsEconometrica, 1971