Estimation of parameters and eigenmodes of multivariate autoregressive models.

Arnold Neumaier Tapio Schneider

Published in: ACM Trans. Math. Softw. (2001)

Keyphrases

autoregressive model
parameter estimation
maximum likelihood estimation
maximum likelihood
autoregressive
parametric models
expectation maximization
regression model
estimation process
high quality
probabilistic model
higher order
maximum entropy