Similar Search Results

Autoregressive approximation in nonstandard situations : the non-invertible and fractionally integrated cases

Poskitt, Donald Stephen - 2005

Persistent link: https://www.econbiz.de/10003042639

Strongly consistent determination of cointegrating rank via canonical correlations

Poskitt, Donald Stephen - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 77-90

Persistent link: https://www.econbiz.de/10001441609

Vector autoregresive moving average identification for macroeconomic modeling : algorithms and theory

Poskitt, Donald Stephen - 2009

Persistent link: https://www.econbiz.de/10008661976

Two canonical VARMA forms : scalar component models vis-à-vis the Echelon form

Athanasopoulos, George (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003778315

Description length based signal detection in singular spectrum analysis

Rahman Khan, Md. Atikur; Poskitt, Donald Stephen - 2010

Persistent link: https://www.econbiz.de/10008662323

Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes

Rahman Khan, Md. Atikur; Poskitt, Donald Stephen - 2011

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...