CXLOGDENSITYCV: RATS procedure to compute concentrated multivariate Whittle likelihood using complex matrices

Tom Doan ()
Additional contact information
Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: This is a generalization of %CXLogDensityCV to complex matrices for use in multivariate Whittle likelihood estimation. This computes the concentrated log likelihood. Use %CXLogDensity for the frequency-by-frequency log likelihood.

Language: RATS
Requires: RATS 6.00
Keywords: Whittle; likelihood (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/cxlogdensitycv.src (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00240

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().