Monash University
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On Multivariate Time-Varying Dynamic Models

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posted on 2022-09-26, 03:23 authored by YAYI YAN
This dissertation consists of three chapters that contribute to different multivariate time series models with local stationarity; that is, the underlying data generating mechanism of the dynamic process is changing smoothly over time. The first chapter briefly reviews the literature. The second chapter considers a new class of time-varying vector moving average infinity processes. The third chapter introduces a new class of time-varying vector autoregression (VAR) models in which the VAR coefficients and covariance matrix of the error innovations are allowed to change smoothly over time. The fourth chapter considers a wide class of time-varying multivariate causal processes that nests many classic and new examples as special cases. Numerical studies are conducted to illustrate the usefulness of the proposed models and methods.


Campus location


Principal supervisor

Jiti Gao

Additional supervisor 1

Bin Peng

Year of Award


Department, School or Centre

Econometrics and Business Statistics


Doctor of Philosophy

Degree Type



Faculty of Business and Economics

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    Faculty of Business and Economics Theses