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We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit wh...
A Random Matrix Approach to VARMA Processes
VARMA random matrix theory free random variables Wishart ensemble covariance matrix historical estimation
2010/4/27
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit whe...
Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification
cointegration rank test invertibility Jordan canonical form stationarity Whittle estimator
2009/3/6
The paper presents a feasible numerical procedure for evaluating the maximum Whittle likelihood estimates and the likelihood-ratio statistics, where to obtain the maximum Whittle likelihood estimates ...