A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes (Q4320767)
From MaRDI portal
scientific article; zbMATH DE number 718789
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes |
scientific article; zbMATH DE number 718789 |
Statements
A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes (English)
0 references
2 February 1995
0 references
co-integration
0 references
error correction model
0 references
partial nonstationarity
0 references
likelihood function
0 references
stationary vector autoregressive-moving average process
0 references
exact likelihood
0 references
over-differencing
0 references
noninvertibility
0 references
identifiability problems
0 references
