On the covariance matrix estimators of the white noise process of a vector autoregressive model (Q4843724)
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scientific article; zbMATH DE number 787100
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the covariance matrix estimators of the white noise process of a vector autoregressive model |
scientific article; zbMATH DE number 787100 |
Statements
On the covariance matrix estimators of the white noise process of a vector autoregressive model (English)
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17 August 1995
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vector autoregressive model
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maximum likelihood estimator
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Yule-Walker estimator
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penalty function identification method
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bias
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