Characterization o f the orders in VARMA models

• Authors: Gabino, Pestano , Gonzáles Concepcion-Concepcion, Celina

Title variants

EN

Charakterystyka uporządkowania w modelach VARMA

Abstracts

EN

In tins paper we present a method which is able to identify the degrees of the matrix polynomials that are involved in the VARMA models. This method is based on the difference between the ranks of certain matrices defined from the sample covariance matrices of the process. The values of the mentioned difference are arranged in tabular from. The specific structure of this table lets us characterize a VARMA (p, q) model. We study the relative significance of certain elements to confirm the used pattern. The proposed procedure is illustrated by data simulations.

Keywords

EN

VARMA models; matrix of plynomials; ranks method; rational representation

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 1997
• Volume: 141

Dates

published

1997

Contributors

author

Gabino, Pestano

author

Gonzáles Concepcion-Concepcion, Celina

other

University of La Laguna, Department of Applied Economics

Identifiers

URI

http://hdl.handle.net/11089/6260