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As in the univariate case, vector autoregressive moving-average processes (VARMA processes or just ARMA processes) constitute by far the most important model class when it comes to empirical applications.

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Vector Autoregressive Moving-Average Processes

  • 章节

  • 发表日期：

    2025年

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  • Klaus Neusser

摘要

As in the univariate case, vector autoregressive moving-average processes (VARMA processes or just ARMA processes) constitute by far the most important model class when it comes to empirical applications.