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Evaluating exact VARMA likelihood and its gradient when data are incomplete
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Authors:
Kristjan Jonasson
University of Iceland, Reykjavik, Iceland
Sebastian E. Ferrando
Ryerson University
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· Journal
ACM Transactions on Mathematical Software (TOMS)
TOMS Homepage
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Volume 35 Issue 1, July 2008
Article No. 5
ACM
New York, NY
, USA
table of contents
doi>
10.1145/1377603.1377608
2008 Article
Research
Refereed
Bibliometrics
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· Citation Count: 1
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Tags:
algorithms
arma
determinant of low rank update
exact likelihood function
incomplete data
matrix derivative
matrix differentiation
missing values
numerical linear algebra
varma
vector autoregressive moving average model
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