Exact maximum likelihood estimation for non-stationary periodic time series models
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Publication:2445716
DOI10.1016/j.csda.2010.04.010zbMath1284.91588OpenAlexW2123638749MaRDI QIDQ2445716
Marius Ooms, Irma Hindrayanto, Siem Jan Koopman
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.010
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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