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On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity.
Shuangzhe Liu
Heinz Neudecker
Published in:
Math. Comput. Simul. (2009)
Keyphrases
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maximum likelihood estimation
multivariate time series
parameter estimation
em algorithm
expectation maximization
prior knowledge
maximum likelihood
autoregressive
probabilistic model
computer vision
face recognition
non stationary