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Multivariate time series analysis

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  • Hannan, E. J.

Abstract

Some key theorems in the asymptotic theory for multivariate time series, using spectrl methods, are established. These theorems relate to various estimation situations including multiple systems of regressions, the determination of the frequency of a periodic signal and the determination of the velocity of a signal propagated through a dispersive medium and received with noise at a number of recorders. The theorems are of a general kind and relate to the almost sure convergence of averages of the periodogram and to the limiting covariance properties and the central limit theorem for such averages. Some brief indications are given concerning extensions of the results to cases where processes are observed that are stationary in time and homogenous with respect to spatial translation.

Suggested Citation

  • Hannan, E. J., 1973. "Multivariate time series analysis," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 395-407, December.
    • Handle: RePEc:eee:jmvana:v:3:y:1973:i:4:p:395-407
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