Calculating the autocovariances and the likelihood for periodic V ARMA models (Q3636723)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Calculating the autocovariances and the likelihood for periodic V ARMA models |
scientific article |
Statements
Calculating the autocovariances and the likelihood for periodic V ARMA models (English)
0 references
29 June 2009
0 references
periodic autocovariances
0 references
discrete-time periodic Lyapunov equation
0 references
likelihood evaluation
0 references
periodic Chandrasekhar-type recursions
0 references
Kalman filter
0 references
0 references
0 references