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March, 1992 Identification of Echelon Canonical Forms for Vector Linear Processes Using Least Squares
D. S. Poskitt
Ann. Statist. 20(1): 195-215 (March, 1992). DOI: 10.1214/aos/1176348518


In this paper a method of identifying stationary and invertible vector autoregressive moving-average time series is proposed. The models are presumed to be represented in (reversed) echelon canonical form. Consideration is given to both parameter estimation and the determination of structural indices, the evaluations being based on the use of closed form least squares calculations. Consistency of the technique is shown and the operational characteristics of the procedure when employed as a means of approximating more general processes is discussed.


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D. S. Poskitt. "Identification of Echelon Canonical Forms for Vector Linear Processes Using Least Squares." Ann. Statist. 20 (1) 195 - 215, March, 1992.


Published: March, 1992
First available in Project Euclid: 12 April 2007

zbMATH: 0756.62033
MathSciNet: MR1150340
Digital Object Identifier: 10.1214/aos/1176348518

Primary: 62M10
Secondary: 62F12 , 62J05 , 93B30 , 93E12

Keywords: approximation , Autoregressive moving-average , consistency , echelon canonical form , Identification , Kronecker indices , least squares regression , linear process

Rights: Copyright © 1992 Institute of Mathematical Statistics

Vol.20 • No. 1 • March, 1992
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