Order estimation of high dimensional time series
Much research has focused on the problem of estimating the order of vector autoregressive (VAR) model and multivariate moving average (VMA) model. The most proposed solutions for this problem include Bayesian Information Criterion (BIC) and limiting spectral distribution of sample autocovariance mat...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2022
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| Online Access: | https://hdl.handle.net/10356/156931 |
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| Institution: | Nanyang Technological University |
| Language: | English |