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

MaRDI QIDQ2736692zbMATHFDO

Authors Ciprian M. Crainiceanu

Publication date 11 September 2001

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

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)

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Cited in

(1)

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

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