The inverse Kullback-Leibler method for fitting vector moving averages

DOI10.1111/JTSA.12276zbMATH Open1392.62272OpenAlexW2771434449MaRDI QIDQ4606961FDOQ4606961

Authors: Anindya Roy, Tucker S. McElroy 

Publication date: 9 March 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12276

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zbMATH Keywords

stabilityvector autoregressionspectral factorization

Mathematics Subject Classification ID

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

Cited In (1)

• Inverse modeling of moving average isotropic kernels for non-parametric three-dimensional Gaussian simulation

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