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Exact maximum likelihood estimation of structured or unit root multivariate time series models.

Guy MélardRoch RoyAbdessamad Saidi
Published in: Comput. Stat. Data Anal. (2006)
Keyphrases
  • maximum likelihood estimation
  • multivariate time series
  • parameter estimation
  • maximum likelihood
  • probabilistic model
  • em algorithm
  • feature space
  • probability distribution
  • knowledge discovery
  • nearest neighbor