ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

Guofu Zhou

Journal of Time Series Analysis, 1992, vol. 13, issue 2, 171-188

Abstract: Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processes.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:2:p:171-188

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