Maximum Likelihood Estimation of the Vector AutoRegressive To Anything (VARTA) model

Jonas Andersson and Dimitris Karlis ()
Additional contact information
Dimitris Karlis: Dept. of Statistics, Athens University of Economics and Business, Postal: Athens University of Economics and Business , Department of Statistics, 76, Patission Str., GR-10434, Athens, Greece, https://www.aueb.gr/en/faculty_page/karlis-dimitrios

No 2025/25, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: The literature on multivariate time series is, largely, limited to either models based on the multivariate Gaussian distribution or models specifically developed for a given application. In this paper we develop a general approach which is based on an underlying, unobserved, Gaussian Vector Autoregressive (VAR) model. Using a transformation, we can capture the time dynamics as well as the distributional properties of a multivariate time series. The model is called the Vector AutoRegressive To Anyting (VARTA) model and was originally presented by Biller and Nelson (2003) who used it for the purpose of simulation. In this paper we derive a maximum likelihood estimator for the model and investigate its performance. We also provide diagnostic analysis and how to compute the predictive distribution. The proposed approach can provide better estimates about the forecasting distributions which can be of every kind not necessarily Gaussian distributions as for the standard VAR models.

Keywords: non-Gaussian time series; maximum likelihood estimation; predictive distribution (search for similar items in EconPapers)
JEL-codes: C13 C22 C58 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2025-12-04
New Economics Papers: this item is included in nep-ets and nep-for
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hdl.handle.net/11250/5326928 Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 404 (https://hdl.handle.net/11250/5326928 [302 Found]--> https://openaccess.nhh.no/nhh-xmlui/handle/11250/5326928)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:nhhfms:2025_025

Access Statistics for this paper

More papers in Discussion Papers from Norwegian School of Economics, Department of Business and Management Science NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Stein Fossen ().