Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
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Publication:899876
DOI10.1016/0165-1765(86)90231-4zbMath1328.62542MaRDI QIDQ899876
Publication date: 1 January 2016
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(86)90231-4
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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