Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Year of publication: |
August 2016
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Authors: | Zadrozny, Peter A. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 193.2016, 2, p. 438-446
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Subject: | Block-Vandermonde eigenvectors of block-companion state-transition matrix of state-space representation | Matrix spectral factorization | Theorie | Theory | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Zustandsraummodell | State space model | Lineare Algebra | Linear algebra | ARMA-Modell | ARMA model |
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Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
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