Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
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Publication:3968344
DOI10.1093/biomet/70.1.275zbMath0502.62081OpenAlexW1988172936MaRDI QIDQ3968344
Publication date: 1983
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/70.1.275
missing dataaggregated dataexact likelihood of vector autoregressive-moving average processKalman filter with nonconstant coefficients
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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