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ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
Author(s) -
Fernández F. Javier
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00044.x
Subject(s) - mathematics , multivariate statistics , statistics , smoothing , test statistic , statistic , exponential function , likelihood function , maximum likelihood , exponential family , multivariate analysis , exponential smoothing , statistical hypothesis testing , econometrics , mathematical analysis
. The form of the spectral likelihood function of a multivariate stochastic process permits straightforward construction of a scoring algorithm for maximum likelihood estimation using first derivatives only and a score test statistic for hypothesis testing. These techniques are applied to the analysis of a multivariate exponential smoothing model for which the homogeneity hypothesis is also discussed.