Maximum likelihood estimation in vector long memory processes via EM algorithm

Jeffrey Pai and Nalini Ravishanker

Computational Statistics & Data Analysis, 2009, vol. 53, issue 12, 4133-4142

Abstract: We present an approach for exact maximum likelihood estimation of parameters from univariate and multivariate autoregressive fractionally integrated moving average models with Gaussian errors using the Expectation Maximization (EM) algorithm. The method takes advantage of the relation between the VARFIMA(0,d,0) process and the corresponding VARFIMA(p,d,q) process in the computation of the likelihood.

Date: 2009
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