On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors |
Common terms and phrases
AICME Almon models ARMA ARMA-models asymptotic distribution asymptotically efficient autoregressive Biometrika C₁ calculate CALIFORN CALIFORNIA UNIVERSITY Chapter computed covariance matrix cross correlations cross entropy denote Department of Statistics DIEGO THE LIBRARY differenced disturbance Estimate Std estimated residual estimating the parameters ETLA explanatory variables Finnish exports graph Hannan identification method inverse INVS iteration lag window least squares method Lemma LIBRARY CALIFORN LIBRARY THE SAN likelihood function linear mators maximization maximum likelihood ME-Estimators ME-GLS ML estimation model selection module observations optimization output variables partial autocorrelation Parzen Parzen window plim polynomial recursive estimation regressand regressors residual model residual spectral density Saikkonen SAN DIEGO ERSITY seasonal MA SITY spectrum stationary Suppose test statistic Theorem Tiao transfer function model Tukey-Hamming UNIV SAN DIEGO UNIVERSITY CALIFORNI University of Helsinki UNIVERSITY SAN DIEGO window estimator