On Mixture Periodic Vector Autoregressive Models
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Publication:2876148
DOI10.1080/03610918.2012.750353zbMath1462.62165MaRDI QIDQ2876148
Publication date: 18 August 2014
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2012.750353
EM algorithm; mixture periodic vector AR models; multivariate periodically correlated process; periodic vector autoregressive models
62F12: Asymptotic properties of parametric estimators
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
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