Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
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References listed on IDEAS
- B. L. Shea, 1987. "Estimation Of Multivariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 95-109, January.
- Sergio Koreisha & Tarmo Pukkila, 1989. "Fast Linear Estimation Methods For Vector Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(4), pages 325-339, July.
- Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
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- José Alberto Mauricio Arias, 1993. "The exact likelihood function for the vector ARMA model," Documentos de Trabajo del ICAE 9317, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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