Autoregressive models are a statistical technique used to predict future values in a sequence based on its past values. It is essentially a fancy way of saying that it uses the past to predict the ...

The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...

This is a preview. Log in through your library . Abstract The likelihood function for an autoregressive-moving average process observed at n equally spaced time points has a well-known form. This note ...

This is a preview. Log in through your library . Abstract This paper derives the explicit expressions for the determinant and exact inverse of the covariance matrix of a multivariate autoregressive ...