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Geometrical expansions for the distributions of the score vector and the maximum likelihood estimator

โœ Scribed by Marianne Mora


Publisher
Springer Japan
Year
1992
Tongue
English
Weight
959 KB
Volume
44
Category
Article
ISSN
0020-3157

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โœ S. Sethuraman; I.V. Basawa ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 362 KB

A vector time series model with long-memory dependence is introduced. It is assumed that, at each time point, the observations are equi-correlated. The model is based on a fractionally differenced autoregressive process (long-memory) adjoined to a Gaussian sequence with constant autocorrelation. The