A likelihood based estimator for vector autoregressive processes

Statistical Methodology

Volumn 6, Issue 3, 2009, Pages 304-319

  Roy, Anindya ^a   Fuller, Wayne A ^b   Zhou, YanYan ^c  

^a UNIVERSITY OF MARYLAND BALTIMORE COUNTY   (United States)

^b Department of Statistics Center for Statistics and Applications in Forensic Evidence Iowa State University 2438 Osborn Dr Ames   (United States)

^c CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

Unconditional maximum likelihood; Vector autoregressive process; Yule Walker estimator

Indexed keywords

EID: 62249101367     PISSN: 15723127     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.stamet.2008.11.002     Document Type: Article

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