The co-integrated vector autoregression with errors-in-variables (Q5864352)
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scientific article; zbMATH DE number 7537813
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| default for all languages | No label defined |
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| English | The co-integrated vector autoregression with errors-in-variables |
scientific article; zbMATH DE number 7537813 |
Statements
The Co-Integrated Vector Autoregression with Errors–in–Variables (English)
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7 June 2022
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co-integrated vector autoregression
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expectation-maximization (EM) algorithm
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Kalman filter
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measurement errors
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state-space model
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yield curve dynamics
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0.8371629118919373
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0.8327488899230957
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0.7767660617828369
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0.7686689496040344
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0.7546812891960144
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