The exact likelihood for a multivariate ARMA model
type: Item
instance of: scholarly article
title: The exact likelihood for a multivariate ARMA model
zbMATH Open document ID: 0544.62084
DOI: 10.1016/0047-259X(84)90023-X
author: V. Solo
published in: Journal of Multivariate Analysis
publication date: 1984-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M99
Mathematics Subject Classification ID: 93B30
Mathematics Subject Classification ID: 93E12
zbMATH DE Number: 3866431
zbMATH Keywords: Kalman filters
zbMATH Keywords: Kronecker indices
zbMATH Keywords: Markov model
zbMATH Keywords: gradient calculation
zbMATH Keywords: Chandrasekhar algorithm
zbMATH Keywords: time series
zbMATH Keywords: algorithms
zbMATH Keywords: exact likelihood
zbMATH Keywords: multivariate ARMA model
zbMATH Keywords: parameterization
zbMATH Keywords: specification of the lag structure
zbMATH Keywords: missing data
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3866431