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Details for article 9 of 20 found articles
| Title: |
Distribution Of Residual Autocovariances And Prediction Mean Square Error Properties The Multivariate Reduce Rank Autoregressive Model |
| Author: |
Ahn, Sung K. Reinsel, Gregory C. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 16 (1987) nr. 1 pages 61-78 |
| Year: |
1987 |
| Contents: |
The asymptotic distribution of residual autocovariance matrices from a fitted multicariate reduced rank autoregressive model is derived, and the portmanteau test for model adequacy based on the residual autocovariances is extended to the reduced rank model. A convenient asymptotic approximation for prediction mean square error matrix when estimated parameters are used for prediction in the reduced rank model is also obtained |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 9 of 20 found articles
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