The Exact Likelihood Function of a Vector Autoregressive Moving Average Model

DOI10.1111/1467-9876.00056MaRDI QIDQ4390934zbMATH OpenOpenAlexFDO

Authors José Alberto Mauricio

Publication date 1997

Published in Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9876.00056

zbMATH Keywords

stationaritymaximum likelihoodinvertibilityFortran 77

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Software, source code, etc. for problems pertaining to statistics (62-04)

Cited in

(6)

• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• AS 311
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

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