Abstract #301844

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #301844
Activity Number: 223
Type: Invited
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #301844
Title: Identification of Kronecker Index of Multivariate Time Series with Dependent Innovations
Author(s): Wanli Min*+ and Ruey-Shiong Tsay
Companies: University of Chicago and University of Chicago
Address: 1401 E 55th St., Chicago, IL, 60615-5456,
Keywords: identifiability ; echelon form ; GARCH models ; vector ARMA models ; state-space model
Abstract:

Kronecker indices play an important role in identifying the dynamic structure of a multivariate linear time series. It solves the identifiability problem via specifying an echelon form of the model. However, in most business and economic applications, the innovations of the linear system are uncorrelated, but dependent, e.g., the existence of conditional heteroscedasticity. What are the effects of dependent innovations on the usual methods used to identify Kronecker indices? We study the impacts of dependent innovations on the theory and application of statistical methods used to identify Kronecker indices. Real and simulated examples are used to study the finite sample performance.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003