Calculating the autocovariances and the likelihood for periodic V ARMA models (Q3636723)

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Calculating the autocovariances and the likelihood for periodic V ARMA models
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    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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