ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

Guofu Zhou

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ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

机译：ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

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Abstract.This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processe

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《journal of time series analysis》 |1992年第2期|171-188|共页
作者
Guofu Zhou;
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正文语种英语
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Forecasting; likelihood function; innovation algorithm; Whittle algorithm; Bayesian analysis;

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ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

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