Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations (Q4828166)
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scientific article; zbMATH DE number 2118728
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations |
scientific article; zbMATH DE number 2118728 |
Statements
Multi‐variate <i>t</i> Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations (English)
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24 November 2004
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causality
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covariance function
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Gaussian distribution
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generalized autoregressive conditionally heteroscedastic models
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innovation distribution
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stationary process
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