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A Complete VARMA Modelling Methodology Based on Scalar Components

Athanasopoulos, George; Vahid, Farshid

Description

This article proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/20142
Source: Journal of Time Series Analysis
DOI: 10.1111/j.1467-9892.2007.00568.x

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