The purpose of the paper is to propose a simple and efficient algorithm to evaluate the exact quasi-likelihood of (possibly marginally heteroscedastic) ARMA models with time-dependent coefficients. The algorithm is based on the Kalman filter and is therefore simpler than a previous algorithm based o
Fast optimization of the exact likelihood of AR and ARMA processes
✍ Scribed by Alberto Luceño
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 972 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0167-9473
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