Constructing First Order Stationary Autoregressive Models via Latent Processes
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Publication:4455925
DOI10.1111/1467-9469.00311zbMath1035.62086OpenAlexW2163605559MaRDI QIDQ4455925
Michael K. Pitt, Chris Chatfield, Stephen G. Walker
Publication date: 16 March 2004
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9469.00311
EM algorithmmaximum likelihood estimationMarkov processmarginal densityconvolution-closed exponential distribution class
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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