Distribution for residual autocovariances in multivariate autoregressive models with structured parameterization
结构化参数多元自回归模型中残差自协方差的分布
The asymptotic distribution is derived for residual autocovariances in the multivariate autoregressive model with structured parameterization, a form often employed in multivariate time series modelling to achieve parsimony. It is shown that a similar result for the asymptotic distribution of a portmanteau statistic for the usual full-rank autoregressive-moving average model can be extended to the autoregressive model with structured parameterization.