The Co-Integrated Vector Autoregression with Errors–in–Variables (Q5864352)
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scientific article; zbMATH DE number 7537813
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Co-Integrated Vector Autoregression with Errors–in–Variables |
scientific article; zbMATH DE number 7537813 |
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The Co-Integrated Vector Autoregression with Errors–in–Variables (English)
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7 June 2022
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co-integrated vector autoregression
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expectation-maximization (EM) algorithm
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Kalman filter
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measurement errors
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state-space model
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yield curve dynamics
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