The exact Gaussian likelihood estimation of time-dependent VARMA models
Author:
Funder
F.R.S.-FNRS
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
Reference37 articles.
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1. General estimation results for tdVARMA array models;Journal of Time Series Analysis;2024-07-28
2. Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches;Stats;2022-08-12
3. Asymptotic Properties of QML Estimators for VARMA Models with Time-dependent Coefficients;Scandinavian Journal of Statistics;2017-02-20
4. Modified Schwarz and Hannan–Quinn information criteria for weak VARMA models;Statistical Inference for Stochastic Processes;2015-07-02
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