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Algorithm AS 311: The Exact Likelihood Function of a Vector Autoregressive Moving Average Model
Author(s) -
Mauricio José Alberto
Publication year - 1997
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.1111/1467-9876.00056
Subject(s) - autoregressive model , star model , likelihood function , mathematics , statistics , nonlinear autoregressive exogenous model , autoregressive–moving average model , maximum likelihood , function (biology) , setar , econometrics , autoregressive integrated moving average , time series , biology , evolutionary biology