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Multiple Time Series Modeling and Extended Sample Cross-Correlations |
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| Authors: | George C. Tiao Ruey S. Tsay |
| Affiliation: | 1. Graduate School of Business, University of Chicago , Chicago , IL , 60637;2. Department of Statistics , Carnegie-Mellon University , Pittsburgh , PA , 15213 |
| Abstract: | This article provides an expository account of the multivariate autoregressive moving average models and proposes an extended sample cross-correlation approach for practical model identification. An iterative model building procedure for applying these models to real data is discussed and demonstrated by analyzing the 5-series U.S. Hog Data. |
| Keywords: | Autoregressive moving average model Cross-correlation Extended sample cross-correlation matrix Multivariate time series Partial autoregression |