Maximum likelihood estimation of the \(\mathrm{VAR}(1)\) model parameters with missing observations
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Publication:474214
DOI10.1155/2013/848120zbMath1299.62012OpenAlexW2134543637WikidataQ59030638 ScholiaQ59030638MaRDI QIDQ474214
Helena Mouriño, Maria Isabel Barão
Publication date: 24 November 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/848120
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)
Cites Work
- Maximum likelihood estimates for a bivariate normal distribution with missing data
- Missing observations in ARIMA models: Skipping approach versus additive outlier approach
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
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