Computation of the exact likelihood function of multivariate moving average models
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Publication:3048118
DOI10.1093/biomet/65.3.511zbMath0413.62077OpenAlexW1984342072MaRDI QIDQ3048118
Publication date: 1978
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/450fccc5cde18d0e2c3b07f64bf4aee8737d544d
frequency domaintime seriestime domainMonte Carlo simulationsCholesky decompositionexact likelihood functionmultivariate moving average models
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