Modeling Multiple Time Series with Applications
Journal of the American Statistical AssociationPublished 1 December 1981
George C. Tiao, George E. P. Box
Citations624
SJR quartileQ1
SJR score4.10
SNIP3.08
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TL;DR
An approach to the modeling and analysis of multiple time series is proposed and properties of a class of vector autoregressive moving average models are discussed.
Abstract
Abstract An approach to the modeling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modeling procedures consisting of tentative specification, estimation, and diagnostic checking are outlined and illustrated by three real examples. Key Words: Multiple time seriesVector autoregressive moving average modelsCross-correlationsPartial autoregressionIntervention analysisTransfer function
Keywords
Computer ScienceDecision SciencesEconomics, Econometrics and Finance
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