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Maximum likelihood estimation of a TVP-VAR - MaRDI portal

Maximum likelihood estimation of a TVP-VAR (Q2328519)

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Maximum likelihood estimation of a TVP-VAR
scientific article

    Statements

    title
    Maximum likelihood estimation of a TVP-VAR (English)
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    author
    Guilherme V. Moura
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    Mateus R. Noriller
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    publication date
    10 October 2019
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    zbMATH Keywords
    time-varying parameters VAR
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    multivariate stochastic volatility
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    Wishart distribution
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    maximum likelihood estimation
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    random walks
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H12
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    62P05
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    60J70
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    zbMATH DE Number
    7115355
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    OpenAlex ID
    W2899202057
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    Wikidata QID
    Q128993977
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