| IDENTIFICATION OF MULTIVARIATE ARMA MODELS |
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| 作者姓名： | 李贵斌 |
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| 作者单位： | Department of Probobility and Statistics，Peking University Beijing 100871，China |
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| 摘 要： | ＩＤＥＮＴＩＦＩＣＡＴＩＯＮＯＦＭＵＬＴＩＶＡＲＩＡＴＥＡＲＭＡＭＯＤＥＬＳＬＩＧＵＩＢＩＮ（李贵斌）（ＤｅｐａｒｔｍｅｎｔｏｆＰｒｏｂｏｂｉｌｉｔｙａｎｄＳｔａｔｉｓｔｉｃｓ，ＰｅｋｉｎｇＵｎｉｖｅｒｓｉｔｙＢｅｉｊｉｎｇ１００８７１，Ｃｈｉｎａ）...
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| 收稿时间： | 14 September 1992 |
Identification of multivariate ARMA models |
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| Guibin Li.IDENTIFICATION OF MULTIVARIATE ARMA MODELS[J].Acta Mathematicae Applicatae Sinica,1996,12(3):241-256. |
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| Authors: | Guibin Li |
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| Institution: | (1) Department of Probability and Statistics, Peking University, 100871 Beijing, China |
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| Abstract: | In this paper, we propose the estimates of orders and parameters in identifiable multivariate ARMA models. These estimates are direct and easy to be calculated, and can be proved to follow LIL (Law of iterated logarithm) and CLT (Central limit theorem) under some mild conditions. |
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| Keywords: | VARMA multiple time series estimates of orders and parameters LIL CLT |
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