A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing (Q3837367)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing |
scientific article; zbMATH DE number 955043
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing |
scientific article; zbMATH DE number 955043 |
Statements
A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing (English)
0 references
24 July 1997
0 references
inverse-transpose model
0 references
fractionally integrated model
0 references
infinite moving average model
0 references
invertible model
0 references
stationary process
0 references
time series estimation
0 references
Toeplitz matrix
0 references
quadratic form
0 references
likelihood function
0 references
vector general linear process
0 references
autocovariances
0 references
approximate maximum likelihood estimates
0 references
general linear model
0 references
autoregressive-moving average models
0 references
degree of differencing
0 references
0.8284747004508972
0 references
0.7844268679618835
0 references
