Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
作者:
JoséAlberto Mauricio,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1995)
卷期:
Volume 90,
issue 429
页码: 282-291
ISSN:0162-1459
年代: 1995
DOI:10.1080/01621459.1995.10476511
出版商: Taylor & Francis Group
关键词: Cholesky decomposition;Invertibility;Multiple autoregressive moving average model;Quasi-Newton method;Residuals;Stationarity
数据来源: Taylor
摘要:
The problems of evaluating and subsequently maximizing the exact likelihood function of vector autoregressive moving average (ARMA) models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful features that can only be found separately in currently available algorithms. A procedure for maximizing the exact likelihood function, which takes full advantage of the properties offered by the evaluation algorithm, is also considered. Combining these two procedures, a new algorithm for exact maximum likelihood estimation of vector ARMA models is obtained. Comparisons with existing procedures, in terms of both analytical arguments and a numerical example, are given to show that the new estimation algorithm performs at least as well as existing ones, and that relevant real situations occur in which it does better.
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