A generalized least squares estimation method for invertible vector moving average models
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Publication:1389414
DOI10.1016/S0165-1765(97)00210-3zbMath0896.90054MaRDI QIDQ1389414
Gregorio R. Serrano, Rafael Flores de Frutos
Publication date: 30 June 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00210-3
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ROBUST RECURSIVE ANALYSIS OF SEASONAL MOVING AVERAGE MODELS, New approximation for ARMA parameters estimate, Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
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