A unified approach to identifying multivariate time series models

Li, Hong, Tsay, Ruey S. . Journal of the American Statistical Association 1998. 93 :770-782

Locate this article in:

Bibtex

@article{CIS-148303,
  Author = {Li, Hong and Tsay, Ruey S.},
  Title = {A unified approach to identifying multivariate time series models},
  Journal = {Journal of the American Statistical Association},
  Volume = {93},
  Year = {1998},
  Pages = {770--782},
  Keywords = {Model specification, Gibbs sampler, Hankel matrix, Kronecker index, Metropolis algorithm, Theory and Methods, vector autoregressive moving average model, Vector autoregression Bayesian approach, Echelon form}
}

Similar articles