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Time series analysis / Econometrics / Autoregressive–moving-average model / Noise / Autoregressive conditional heteroskedasticity / Expectation–maximization algorithm / Maximum likelihood / Kalman filter / Normal distribution / Statistics / Statistical theory / Estimation theory


Optimal Estimation of Multivariate ARMA Models Martha White, Junfeng Wen, Michael Bowling and Dale Schuurmans Department of Computing Science, University of Alberta, Edmonton AB T6G 2E8, Canada {whitem,junfeng.wen,mbowli
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Document Date: 2015-01-15 16:29:05


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Princeton University Press / Neural Information Processing Systems / LG / BP / Pietra S. A. D. / /

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Environmental Issue / /

Facility

University of Alberta / /

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estimation algorithms / subspace algorithm / deterministicstochastic systems / fundamental tool / linear dynamical systems / linear time-invariant systems / line-search / singleoutput systems / outer line search / expectation-maximization algorithm / learning algorithms / spectral algorithm / /

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American Statistical Association / Artificial Copyright Intelligence / l’Institut International de Statistique / Princeton University / Association for the Advancement / U.S. Securities and Exchange Commission / University of Alberta / Dale Schuurmans Department of Computing Science / /

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Dale Schuurmans / Van Overschee / Michael Bowling / /

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Alberta / Louisiana / Arkansas / /

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Journal of the ACM / Econometric Theory / Computational Linguistics / Machine Learning / Journal of Machine Learning Research / Journal of the American Statistical Association / /

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Subspace algorithms / spectral algorithm / machine translation / subspace algorithm / expectation-maximization algorithm / Machine Learning / EM algorithm / estimation algorithms / pdf / /

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