Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
نویسندگان
چکیده
منابع مشابه
Exact maximum likelihood estimation of partially nonstationary vector ARMA models
A useful class of partially nonstationary vector autoregressive moving average (VARMA) models is considered with regard to parameter estimation. An exact maximum likelihood (EML) approach is developed on the basis of a simple transformation applied to the error-correction representation of the models considered. The employed transformation is shown to provide a standard VARMA model with the imp...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 1995
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.1995.10476511