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A unified methodology for constructing multivariate autoregressive models. (English) Zbl 1068.62519
Ghosh, Subir (ed.), Multivariate analysis, design of experiments, and survey sampling. A tribute to Jagdish N. Srivastava. New York, NY: Marcel Dekker (ISBN 0-8247-0052-X). Stat., Textb. Monogr. 159, 349-368 (1999).
For the entire collection see [Zbl 0927.00053].
MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H12 Estimation in multivariate analysis
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