ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
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Publication:6075127
DOI10.1111/anzs.12340zbMath1521.62198OpenAlexW3210792111MaRDI QIDQ6075127
Thanakorn Nitithumbundit, Jennifer So-Kuen Chan
Publication date: 20 October 2023
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/anzs.12340
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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