The exact likelihood function of multivariate autoregressive-moving average models

DOI10.1093/biomet/66.2.259zbMath0414.62068OpenAlexW2114093875MaRDI QIDQ3049716

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Publication date: 1979

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/66.2.259

zbMATH Keywords

estimationtime seriescovariance functionexact maximum likelihoodvector autoregressive-moving average

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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