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A Proposal for Estimation of the Parameters of Multivariate Moving-average Models

✍ Scribed by Anna Clara Monti


Book ID
108549322
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
293 KB
Volume
19
Category
Article
ISSN
0143-9782

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Ai~truet--In prediction error (PE) identification of the parameter estimates is given by the global minimum of a scalar-valued function of the innovation sample covariance matrix. It may happen that the loss function has multiple local minimum points so that a numerical search routine can fail to fi