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Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms.

A. S. MirniamA. R. Nematollahi
Published in: Commun. Stat. Simul. Comput. (2018)
Keyphrases
  • maximum likelihood estimation
  • expectation maximization
  • maximum likelihood
  • em algorithm
  • parameter estimation
  • pairwise
  • mixture of gaussians
  • generative model
  • density function
  • autoregressive model