Constrained Estimation of Causal Invertible VARMA
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Publication:4626700
DOI10.5705/ss.202016.0415zbMath1412.62123OpenAlexW2778528522MaRDI QIDQ4626700
Anindya Roy, Peter Linton, Tucker S. McElroy
Publication date: 28 February 2019
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.202016.0415
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Toeplitz, Cauchy, and related matrices (15B05)
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Estimation of multivariate dependence structures via constrained maximum likelihood ⋮ Frequency Domain Calculation of Seasonal VARMA Autocovariances ⋮ Bayesian method for causal inference in spatially-correlated multivariate time series ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
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