Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms (Q5084753)
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scientific article; zbMATH DE number 7549497
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| English | Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms |
scientific article; zbMATH DE number 7549497 |
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Maximum likelihood estimation in vector autoregressive models with multivariate scaled <i>t</i>-distributed innovations using EM-based algorithms (English)
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28 June 2022
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ECM algorithm
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ECME algorithm
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EM algorithm
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multivariate scaled \(t\)-distribution
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vector autoregressive process
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0.9320181
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0.89942586
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0.89536166
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0.8926276
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0.8913125
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0.8864576
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