The likelihood of the parameters of a continuous time vector autoregressive model

DOI10.1023/A:1021283821215zbMath1024.62036OpenAlexW2165384015MaRDI QIDQ1862206

J. Roderick McCrorie

Publication date: 10 March 2003

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021283821215

zbMATH Keywords

time series analysislikelihood functionvector autoregressive modelcontinuous time stochastic process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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