A note on the distribution of residual autocorrelations in VARMA(p,q) models

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A note on the distribution of residual autocorrelations in VARMA(p,q) models

机译：关于VARMA（p，q）模型中残差自相关分布的说明

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This paper generalizes the distribution of residualautocovariance matrices in VARMA(p,q) models obtained previously inHosking (1980). A new simplified version of the multivariate relation betweensample correlation matrix of the errors and its residuals is also established. Themodifications are effective tools for identifying and dealing with the curse ofdimensionality in multivariate timeseries.

机译：本文概括了Hosking（1980）先前获得的VARMA（p，q）模型中的残差自协方差矩阵的分布。还建立了误差的样本相关矩阵与其残差之间的多元关系的新简化形式。修改是识别和处理多元时间序列中维数诅咒的有效工具。

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《Journal of Statistical and Econometric Methods》 |2014年第3期|共7页
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A note on the distribution of residual autocorrelations in VARMA(p,q) models

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