Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm (Q5861541)
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scientific article; zbMATH DE number 7482746
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| English | Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm |
scientific article; zbMATH DE number 7482746 |
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Robust estimation using multivariate <i>t</i> innovations for vector autoregressive models via ECM algorithm (English)
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1 March 2022
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EM algorithms
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maximum likelihood estimation
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multivariate \(t\) distribution
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robust estimation
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vector autoregressive model
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0.8298649787902832
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0.8179433345794678
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0.8114423751831055
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0.8114423751831055
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