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Maximum likelihood estimation of regression models with autoregressive-moving average disturbances |
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| Authors: | HARVEY, A. C. PHILLIPS, G. D. A. |
| Affiliation: | Department of Statistics, London School of Economics Faculty of Social Sciences, University of Kent Canterbury |
| Abstract: | |
| Keywords: | Autoregressive-moving average process Diagnostic checking Forecasting Generalized least squares Gram-Schmidt orthogonalization Kalman filter Maximum likelihood Prediction error Recursive residual Regression |
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