Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms (Q5084753): Difference between revisions
From MaRDI portal
Latest revision as of 12:19, 29 July 2024
scientific article; zbMATH DE number 7549497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms |
scientific article; zbMATH DE number 7549497 |
Statements
Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms (English)
0 references
28 June 2022
0 references
ECM algorithm
0 references
ECME algorithm
0 references
EM algorithm
0 references
multivariate scaled \(t\)-distribution
0 references
vector autoregressive process
0 references
0 references
