A multivariate stochastic model with non‐stationary trend component (Q4842353)
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scientific article; zbMATH DE number 780153
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| English | A multivariate stochastic model with non‐stationary trend component |
scientific article; zbMATH DE number 780153 |
Statements
A multivariate stochastic model with non‐stationary trend component (English)
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3 October 1995
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co-movements
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multivariate nonstationary stochastic time series model
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state-space form
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maximum likelihood
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numerical optimization
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Kalman filter algorithm
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AIC procedure
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0.8644633889198303
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0.7707592248916626
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0.7552953958511353
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