A note on reparameterizing a vector autoregressive moving average model to enforce stationarity (Q3740862)
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English | A note on reparameterizing a vector autoregressive moving average model to enforce stationarity |
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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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