A complete VARMA modelling methodology based on scalar components
Athanasopoulos, George
Vahid, Farshid
10.4225/03/59362525b30c5
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.
2017-06-06 03:44:36
monash:7222
Multivariate time series
1959.1/38909
VARMA models
Scalar components
Identification
2006