Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data (Q726604)
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scientific article; zbMATH DE number 6603061
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| English | Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data |
scientific article; zbMATH DE number 6603061 |
Statements
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data (English)
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12 July 2016
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block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation
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matrix spectral factorization
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0.7871301770210266
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0.7714495658874512
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0.7619646787643433
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0.7419975399971008
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0.7407243251800537
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