Topics in multiple time series
Heather Eunice Mitchell · RMIT Research Repository (RMIT University Library) · 2012
For the finite variance process the aims of this thesis are to estimate the impulse response matrices and find the asymptotic distribution of these estimators, estimate the spectral distribution and find the asymptotic distribution of the estimator, examine the performance of the above estimators on small samples using simulation studies and investigate applications of the innovations algorithm for prediction and model-fitting for VARMA processes. We also aim to investigate the problem of linear prediction for a class of multivariate processes with infinite variance.