14 search results - page 1 / 3 » Exact maximum likelihood estimation for non-stationary perio... |
CSDA
2010
13 years 5 months ago
2010
CSDA
2006
13 years 5 months ago
2006
TheexactlikelihoodfunctionofaGaussianvectorautoregressive-movingaverage(VARMA)model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in ...
ICASSP
2009
IEEE
14 years 8 days ago
2009
IEEE
We propose a convex optimization method for maximum likelihood estimation of autoregressive models, subject to conditional independence constraints. This problem is an extension t...
JMLR
2010
13 years 10 days ago
2010
An algorithm is presented for topology selection in graphical models of autoregressive Gaussian time series. The graph topology of the model represents the sparsity pattern of the...
Lecture Notes
These notes cover several topics such as Review of Statistics, Least Squares and Maximum Likelihood Estimation, Index Models, Testing CAPM and Multifactor Models
Event Studies, Ti...