TheexactlikelihoodfunctionofaGaussianvectorautoregressive-movingaverage(VARMA)model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in ...
We propose a convex optimization method for maximum likelihood estimation of autoregressive models, subject to conditional independence constraints. This problem is an extension t...
Jitkomut Songsiri, Joachim Dahl, Lieven Vandenberg...
An algorithm is presented for topology selection in graphical models of autoregressive Gaussian time series. The graph topology of the model represents the sparsity pattern of the...
These notes cover several topics such as Review of Statistics, Least Squares and Maximum Likelihood Estimation, Index Models, Testing CAPM and Multifactor Models
Event Studies, Ti...