| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153787 | Statistics & Probability Letters | 2009 | 4 Pages |
Abstract
Available closed form expressions for the determinant and inverse of the covariance matrix of a set of observations generated by a vector autoregressive moving average model are derived following a unified and simplified approach. Computational guidelines to estimate these models by maximum likelihood or nonlinear least squares methods are also given.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jose L. Gallego,