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CSDA
2006
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14 years 15 days ago
Exact maximum likelihood estimation of structured or unit root multivariate time series models
TheexactlikelihoodfunctionofaGaussianvectorautoregressive-movingaverage(VARMA)model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in ...
Guy Mélard, Roch Roy, Abdessamad Saidi