Parametric Identification of Models of Vector Autoregression
Keywords:
multidimensional temporal rows, vector auteregression, self-reactance authentication, equalizations of Yule-Walker, terms of stationarity of temporal row
Abstract
Modifications of least-squares method and method of moments for parametrical identification of model of vectorial auteregression are offered. Application of the modified least-squares method is reasonable for authentication of short stationary temporal multidimensional rows with high correlation.Downloads
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Published
2015-04-18
How to Cite
Матвеев, М. Г. (2015). Parametric Identification of Models of Vector Autoregression. Modern Economics: Problems and Solutions, 5, 133-142. Retrieved from https://journals.vsu.ru/meps/article/view/4347
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