Finite sample effects in vector autoregressive modeling

IEEE Transactions on Instrumentation and Measurement

Volumn 51, Issue 5, 2002, Pages 917-922

  De Waele, Stijn ^a   Broersen, Piet M T ^a  

^a DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

Multichannel signals; Multivariate processes; Order selection; System identification; Time series analysis; Vector autoregression

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; IDENTIFICATION (CONTROL SYSTEMS); RADAR; TIME SERIES ANALYSIS;

CARMER-RAO LOWER BOUND; FINITE SAMPLE EFFECTS; LEAST SQUARES ESTIMATOR; MULTICHANNEL SIGNALS; MULTIVARIATE PROCESSES; NUTTALL-STRANDESTIMATOR; VECTOR AUTOREGRESSIVE MODELING;

VECTORS;

EID: 0036825393     PISSN: 00189456     EISSN: None     Source Type: Journal    
DOI: 10.1109/TIM.2002.806039     Document Type: Article

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