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混合VARMA过程多项式矩阵中非零元素的识别
S. G. Koreisha, T. M. Pukkila; Identification of Nonzero Elements in the Polynomial Matrices of Mixed Varma Processes, Journal of the Royal Statistical Soc
SUMMARY The parameter density is the polynomial matrices of vector autoregressive moving average (VARMA) time series models is generally very low. Thus, estimation of fully parameterized high order models or of models with many variables is an ineffective, if not impractical, way of utilizing computing power. In the article we present methods for identifying the nonzero elements in VARMA(1,1) models, and show how these procedures can be used to construct models of higher…