Order estimation of high dimensional time series

• Main Author: Zeng, Shijia
• Other Authors: Pan Guangming
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2022
• Subjects: Science::Mathematics
• Online Access: https://hdl.handle.net/10356/156931
• Institution: Nanyang Technological University

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...