Calculating the autocovariances and the likelihood for periodic V ARMA models (Q3636723)
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scientific article; zbMATH DE number 5571400
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| English | Calculating the autocovariances and the likelihood for periodic V ARMA models |
scientific article; zbMATH DE number 5571400 |
Statements
Calculating the autocovariances and the likelihood for periodic V ARMA models (English)
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29 June 2009
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periodic autocovariances
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discrete-time periodic Lyapunov equation
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likelihood evaluation
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periodic Chandrasekhar-type recursions
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Kalman filter
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0.9262933
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0.88043493
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0.87492263
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0.8742914
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0.8723774
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0.87172604
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0.8693174
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0.8687385
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0.86680835
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