Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation (Q1727916)
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scientific article; zbMATH DE number 7027259
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| English | Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation |
scientific article; zbMATH DE number 7027259 |
Statements
Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation (English)
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21 February 2019
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maximum likelihood
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EM algorithm
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Monte Carlo EM
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integer-valued time series
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ARMA model
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Gaussian copula
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0.7692800164222717
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0.758613646030426
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0.758613109588623
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0.7353862524032593
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