Model specification and selection for multivariate time series
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DOI: 10.1016/j.jmva.2019.104539
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Cited by:
- Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
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Keywords
Canonical correlations; Reversed echelon form; State space representation; VARMA model;All these keywords.
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