The exact likelihood function of a vector autoregressive moving average process
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Publication:1009699
DOI10.1016/j.spl.2008.10.030zbMath1157.62491MaRDI QIDQ1009699
Publication date: 3 April 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.030
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
15A99: Basic linear algebra
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Cites Work
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- The exact likelihood function of multivariate autoregressive-moving average models
- Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
- The evaluation of exact maximum likelihood estimates for varma models
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- Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
- Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models