The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model
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DOI: 10.1023/A:1021283821215
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References listed on IDEAS
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Cited by:
- Jewitt, Giles & Roderick McCrorie, J., 2005. "Computing estimates of continuous time macroeconometric models on the basis of discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 397-416, April.
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Keywords
continuous time stochastic process; vector autoregressive model; likelihood function; time series analysis; application to economics;Statistics
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