The exact likelihood function of a vector autoregressive moving average model

Journal of the Royal Statistical Society. Series C: Applied Statistics

Volumn 46, Issue 1, 1997, Pages 157-171

  Mauricio, José Alberto ^a  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

Invertibility; Maximum likelihood; Stationarity; Vector autoregressive moving average model

Indexed keywords

ALGORITHMS; CODES (SYMBOLS); COMPUTATIONAL METHODS; FUNCTIONS; MATHEMATICAL MODELS; TIME SERIES ANALYSIS; VECTORS;

AUTOREGRESSIVE MOVING AVERAGE (ARMA) MODEL; EXACT LIKELIHOOD FUNCTIONS;

REGRESSION ANALYSIS;

EID: 0031364213     PISSN: 00359254     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9876.00056     Document Type: Article

References (11)

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