10.4225/03/59362525b30c5
Athanasopoulos, George
George
Athanasopoulos
Vahid, Farshid
Farshid
Vahid
A complete VARMA modelling methodology based on scalar components
Monash University
2017
monash:7222
Multivariate time series
1959.1/38909
VARMA models
Scalar components
Identification
2006
2017-06-06 03:44:36
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/A_complete_VARMA_modelling_methodology_based_on_scalar_components/5081125
This paper 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.