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A Complete VARMA Modelling Methodology Based on Scalar Components

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Date

2006

Authors

Athanasopoulos, George
Vahid, Farshid

Journal Title

Journal ISSN

Volume Title

Publisher

Blackwell Publishing Ltd

Abstract

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.

Description

Keywords

Keywords: Identification; Multivariate time series; Scalar components; VARMA models

Citation

URI

http://hdl.handle.net/1885/20142

Collections

ANU Research Publications

Source

Journal of Time Series Analysis

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1111/j.1467-9892.2007.00568.x

Restricted until

2037-12-31

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Description
01_Athanasopoulos_A_Complete_VARMA_Modelling_2006.pdf (518.56 KB)

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