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A complete VARMA modelling methodology based on scalar components
Author(s) -
Athanasopoulos George,
Vahid Farshid
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2007.00568.x
Subject(s) - scalar (mathematics) , mathematics , component (thermodynamics) , extension (predicate logic) , identification (biology) , estimation theory , statistics , computer science , geometry , physics , botany , biology , thermodynamics , programming language
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.