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ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES |
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| Authors: | Guofu Zhou |
| Affiliation: | Washington University |
| Abstract: | Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving-average (VARMA) processes. |
| Keywords: | Forecasting likelihood function innovation algorithm Whittle algorithm Bayesian analysis |