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  • Search: subject:"ARMA echelon form"
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Subject
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ARMA echelon form 1 Chandrasekhar-type recursions 1 Cointegrated model 1 Gaussian likelihood estimation 1 Kalman filter 1 Scalar component model 1
Online availability
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Undetermined 1
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Book / Working Paper 1
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Undetermined 1
Author
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Melard, Guy 1 Roy, Roch 1 Saidi, Abdessamad 1
Institution
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Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1
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ULB Institutional Repository 1
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RePEc 1
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Exact maximum likelihood estimation of structured or unit root multivariate time series models
Melard, Guy; Roy, Roch; Saidi, Abdessamad - Solvay Brussels School of Economics and Management, … - 2006
The exact likelihood function of a Gaussian vector autoregressive-moving average (VARMA) model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in the echelon form structure or the scalar component model (SCM) structure; (b) a partially nonstationary...
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