An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

DOI10.1111/1467-9892.00273zbMath1091.62080OpenAlexW3121246722MaRDI QIDQ5467631

José Alberto Mauricio

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00273

zbMATH Keywords

innovationslikelihood functionstationary vector autoregressive-moving average model

Mathematics Subject Classification ID

Related Items (8)

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ New approximation for ARMA parameters estimate ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ Computing and using residuals in time series models

Cites Work

• Unnamed Item
• The Exact Likelihood Function of a Vector Autoregressive Moving Average Model

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