In canonical vector time series autoregressions, which permit dependence only on past values, the errors generally show contemporaneous correlation. By contrast structural vector autoregressionsâ€¦ (More)

Technology has impacted extensively on the operations of financial markets which are inhabited by a rich array of fixed-income securities, each bearing a particular rate of interest. The relationshipâ€¦ (More)

We consider modeling procedures for multiple time series which aim to address the challenge of providing both a good representation of the structure, and an efficient parameterization. We firstâ€¦ (More)

In this paper graphical modelling is used to select a sparse structure for a multivariate time series model of New Zealand interest rates. In particular, we consider a recursive structural vectorâ€¦ (More)

Prediction of Extreme Temperatures in a Reactor Using Measurements Affected by Control Action John Logsdon, Granville Tunnicliffe Wilson & Carl Scarrott a Centre for Applied Statistics, Lancasterâ€¦ (More)

Structural vector autoregressions allow contemporaneous series dependence and assume errors with no contemporaneous correlation. Such models having a recursive structure can be described by aâ€¦ (More)