ESTIMATION OF MULTIVARIATE TIME SERIES (Q4720615)

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scientific article; zbMATH DE number 3992725
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ESTIMATION OF MULTIVARIATE TIME SERIES
scientific article; zbMATH DE number 3992725

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    ESTIMATION OF MULTIVARIATE TIME SERIES (English)
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    1987
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    autoregressive moving average model
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    multivariate time series
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    algorithm
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    exact likelihood
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    Kalman filter
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    vector ARMA model
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    inverse cross covariances
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