ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
Journal of Time Series Analysis, 1990, vol. 11, issue 2, 89-105
Abstract. 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.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:2:p:89-105
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