Maximum likelihood estimation for a nearly random walk model (Q4541715): Difference between revisions
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| Property / cites work: Likelihood Function of Stationary Multiple Autoregressive Moving Average Models / rank | |||
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| Property / cites work: Asymptotic behaviour of temporal aggregates of time series / rank | |||
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Latest revision as of 12:08, 4 June 2024
scientific article; zbMATH DE number 1772108
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation for a nearly random walk model |
scientific article; zbMATH DE number 1772108 |
Statements
Maximum likelihood estimation for a nearly random walk model (English)
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28 July 2002
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nearly unit root
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structural model
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reparameterization
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exact likelihood function
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maximum likelihood estimates
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stock market returns
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