A note on reparameterizing a vector autoregressive moving average model to enforce stationarity (Q3740862)
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scientific article; zbMATH DE number 3976154
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| English | A note on reparameterizing a vector autoregressive moving average model to enforce stationarity |
scientific article; zbMATH DE number 3976154 |
Statements
A note on reparameterizing a vector autoregressive moving average model to enforce stationarity (English)
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1986
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vector autoregressive moving average model
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Cholesky factorization
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parameterization
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vector ARMA model
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stationarity
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fast computation
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autocovariances
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0.794122040271759
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0.7922541499137878
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0.7862604260444641
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0.7820820212364197
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