Exact Maximum Likelihood Estimation of Vector Arma Processes

The problems of evaluating and subsequently maximizing the exact likelihood function of vector autoregressive moving average (ARMA) models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful fea...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, TSE, Y. M.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1989
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Online Access:https://ink.library.smu.edu.sg/soe_research/757
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Institution: Singapore Management University
Language: English