Estimation of the mean of multivariate AR processes

DOI10.1016/S0898-1221(01)00315-7zbMath0998.62074OpenAlexW1967010163MaRDI QIDQ1609132

R. Smith

Publication date: 15 August 2002

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(01)00315-7

zbMATH Keywords

Wiener processmaximum likelihood estimatorautoregressive processesweak stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

On maximum likelihood estimation of the drift matrix of a degenerated O-U process

Cites Work

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