Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations

DOI10.1111/J.1467-9892.2003.00332.XzbMath1051.62088OpenAlexW2033280533MaRDI QIDQ4828166

Bahram Tarami, Mohsen Pourahmadi

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2003.00332.x

zbMATH Keywords

covariance functioncausalityGaussian distributionstationary processinnovation distributiongeneralized autoregressive conditionally heteroscedastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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