We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k Ä at an appr
✦ LIBER ✦
Exact likelihood for stationary vector autoregressive moving average processes
✍ Scribed by Jean-Pierre Dugré; Louis L Scharf; Claude Gueguen
- Publisher
- Elsevier Science
- Year
- 1986
- Tongue
- English
- Weight
- 779 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0165-1684
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