On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations - Mirniam, A. S.; Nematollahi, A. R. (Communications in statistics. Theory and methods, 2023)
Keywords: Algorithms; Autoregressive models; BHHH algorithm; ECM algorithm; ECME algorithms; Innovations; Maximum likelihood estimation; Multivariate analysis; multivariate generalized scaled t distribution; VAR models