Exact maximum likelihood estimation of structured or unit root multivariate time series models (Q959386)
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scientific article; zbMATH DE number 5381717
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| English | Exact maximum likelihood estimation of structured or unit root multivariate time series models |
scientific article; zbMATH DE number 5381717 |
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Exact maximum likelihood estimation of structured or unit root multivariate time series models (English)
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11 December 2008
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Gaussian likelihood estimation
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ARMA echelon form
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scalar component model
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cointegrated model
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Kalman filter
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Chandrasekhar-type recursions
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0.8593595623970032
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0.8547102808952332
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0.8484301567077637
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0.8465575575828552
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