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
The exact likelihood for a multivariate ARMA model
β Scribed by Victor Solo
- Publisher
- Elsevier Science
- Year
- 1984
- Tongue
- English
- Weight
- 389 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0047-259X
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π SIMILAR VOLUMES
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