Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications

DOI10.1111/sjos.12311zbMath1398.65018OpenAlexW2789460017MaRDI QIDQ4578182

Jurgen A. Doornik

Publication date: 8 August 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12311

zbMATH Keywords

EM algorithmaccelerationcointegrationline searchmaximizationPARAFACswitching algorithm

Mathematics Subject Classification ID

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

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Uses Software

• Ox
• BRENT

Cites Work

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