Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

DOI10.2307/2291152zbMath0818.62078MaRDI QIDQ4836990

José Alberto Mauricio

Publication date: 21 August 1995

Full work available at URL: http://eprints.ucm.es/28778/1/9316.pdf

zbMATH Keywords

algorithms; numerical example; invertibility; stationarity; quasi-Newton method; residuals; Cholesky decomposition; exact likelihood function; vector ARMA models; vector autoregressive moving average models; multiple autoregressive moving average model

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C99: Probabilistic methods, stochastic differential equations

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