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To difference or not to difference: a Monte Carlo investigation of inference in vector autoregression models.

Richard AshleyRandal J. Verbrugge
Published in: Int. J. Data Anal. Tech. Strateg. (2009)
Keyphrases
  • monte carlo
  • monte carlo simulation
  • markov chain monte carlo
  • importance sampling
  • monte carlo methods
  • markov chain
  • matrix inversion
  • simulation study
  • particle filter
  • model selection
  • point processes