On the likelihood function for a multivariate MA(q) process

zbMATH Open0979.62505MaRDI QIDQ2736692FDOQ2736692

Authors: Ciprian M. Crainiceanu 

Publication date: 11 September 2001

Published in: Analele Universității București. Matematică (Search for Journal in Brave)

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• scientific article; zbMATH DE number 4036989

zbMATH Keywords

innovationslikelihood functionsmultivariate MA(q) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cited In (1)

• Determination of initial values for the unconditional likelihood function of a moving averages process

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