Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
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Cited in
(16)- Linear bootstrap methods for vector autoregressive moving-average models
- Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
- Maximum likelihood estimation in vector long memory processes via EM algorithm
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- From general state-space to VARMAX models
- A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
- Large Bayesian VARMAs
- An Interpretable and Efficient Infinite-Order Vector Autoregressive Model for High-Dimensional Time Series
- EM-based algorithms for autoregressive models with \(t\)-distributed innovations
- Vector moving average models: a review
- Robust estimation using multivariate \(t\) innovations for vector autoregressive models via ECM algorithm
- ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
- Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- THE LOGISTIC INVERSE GAUSSIAN (LIG) DISTRIBUTION
- On a new procedure for identifying a dynamic common factor model
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