Calculating the autocovariances and the likelihood for periodic V ARMA models (Q3636723)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calculating the autocovariances and the likelihood for periodic V ARMA models |
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Calculating the autocovariances and the likelihood for periodic V ARMA models (English)
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29 June 2009
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periodic autocovariances
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discrete-time periodic Lyapunov equation
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likelihood evaluation
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periodic Chandrasekhar-type recursions
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Kalman filter
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