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- W2971370760 abstract "We show Vector Autoregressive Moving Average models with scalar Moving Average components could be estimated by generalized least square (GLS) for each fixed moving average polynomial. The conditional variance of the GLS model is the concentrated covariant matrix of the moving average process. Under GLS the likelihood function of these models has similar format to their VAR counterparts. Maximum likelihood estimate can be done by optimizing with gradient over the moving average parameters. These models are inexpensive generalizations of Vector Autoregressive models. We discuss a relationship between this result and the Borodin-Okounkov formula in operator theory." @default.
- W2971370760 created "2019-09-12" @default.
- W2971370760 creator A5041529436 @default.
- W2971370760 date "2019-09-01" @default.
- W2971370760 modified "2023-09-25" @default.
- W2971370760 title "Vector Autoregressive Moving Average Model with Scalar Moving Average" @default.
- W2971370760 doi "https://doi.org/10.48550/arxiv.1909.00386" @default.
- W2971370760 hasPublicationYear "2019" @default.
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