A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes (Q4320767)
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scientific article; zbMATH DE number 718789
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| English | A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes |
scientific article; zbMATH DE number 718789 |
Statements
A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes (English)
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2 February 1995
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co-integration
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error correction model
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partial nonstationarity
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likelihood function
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stationary vector autoregressive-moving average process
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exact likelihood
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over-differencing
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noninvertibility
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identifiability problems
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0.8873454928398132
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0.8663676977157593
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0.8544884324073792
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0.8529958128929138
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