A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing (Q3837367)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing |
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A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing (English)
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24 July 1997
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inverse-transpose model
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fractionally integrated model
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infinite moving average model
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invertible model
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stationary process
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time series estimation
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Toeplitz matrix
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quadratic form
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likelihood function
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vector general linear process
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autocovariances
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approximate maximum likelihood estimates
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general linear model
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autoregressive-moving average models
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degree of differencing
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