The exact likelihood function of a vector autoregressive moving average process

Jose L. Gallego

Statistics & Probability Letters, 2009, vol. 79, issue 6, 711-714

Abstract: Available closed form expressions for the determinant and inverse of the covariance matrix of a set of observations generated by a vector autoregressive moving average model are derived following a unified and simplified approach. Computational guidelines to estimate these models by maximum likelihood or nonlinear least squares methods are also given.

Date: 2009
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