Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations (Q4828166)
From MaRDI portal
scientific article; zbMATH DE number 2118728
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations |
scientific article; zbMATH DE number 2118728 |
Statements
Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations (English)
0 references
24 November 2004
0 references
causality
0 references
covariance function
0 references
Gaussian distribution
0 references
generalized autoregressive conditionally heteroscedastic models
0 references
innovation distribution
0 references
stationary process
0 references
