Order estimation of high dimensional time series

• 主要作者: Zeng, Shijia
• 其他作者: Pan Guangming
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2022
• 主題: Science::Mathematics
• 在線閱讀: https://hdl.handle.net/10356/156931

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...