Model Specification in Multivariate Time Series
Author:
Affiliation:
1. University of Chicago; USA
2. Carnegie Mellon University; Pittsburgh USA
Publisher
Wiley
Subject
Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.2517-6161.1989.tb01756.x/fullpdf
Reference42 articles.
1. Nested reduced rank autoregressive models for multiple time series;Ahn;J. Amer. Statist. Ass.,1988
2. A new look at the statistical model identification;Akaike;IEEE Trans. Auto. Contr.,1974
3. Canonical correlation analysis of time series and the use of an information criterion;Akaike,1976
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