Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
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Publication:4836990
DOI10.2307/2291152zbMath0818.62078OpenAlexW254624879MaRDI QIDQ4836990
Publication date: 21 August 1995
Full work available at URL: http://eprints.ucm.es/28778/1/9316.pdf
algorithmsnumerical exampleinvertibilitystationarityquasi-Newton methodresidualsCholesky decompositionexact likelihood functionvector ARMA modelsvector autoregressive moving average modelsmultiple autoregressive moving average model
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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