The exact likelihood for a multivariate ARMA model (Q796949)
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scientific article; zbMATH DE number 3866431
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| English | The exact likelihood for a multivariate ARMA model |
scientific article; zbMATH DE number 3866431 |
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The exact likelihood for a multivariate ARMA model (English)
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1984
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Kalman filters
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Kronecker indices
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Markov model
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gradient calculation
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Chandrasekhar algorithm
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time series
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algorithms
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exact likelihood
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multivariate ARMA model
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parameterization
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specification of the lag structure
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missing data
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0.8824256658554077
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0.8594875335693359
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0.8465575575828552
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0.8280737996101379
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