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The exact likelihood for a multivariate ARMA model

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  • Solo, Victor

Abstract

A number of algorithms are presented for calculating the exact likelihood of a multivariate ARMA model. There are two aspects to the algorithms. Firstly, the parameterization is in terms of AR parameters and autocovariances. This obviates difficulties with initial MA estimates. Secondly, the algorithms explicitly account for specification of the lag structure of the multivariate time series. Additionally, an algorithm is presented to deal with missing data. The algorithms are, of themselves, not new but they have not been applied to likelihood construction in the manner discussed here.

Suggested Citation

  • Solo, Victor, 1984. "The exact likelihood for a multivariate ARMA model," Journal of Multivariate Analysis, Elsevier, vol. 15(2), pages 164-173, October.
    • Handle: RePEc:eee:jmvana:v:15:y:1984:i:2:p:164-173
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    Cited by:

    1. Melard, Guy & Roy, Roch & Saidi, Abdessamad, 2006. "Exact maximum likelihood estimation of structured or unit root multivariate time series models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2958-2986, July.
    2. Boularouk, Y. & Djeddour, K., 2015. "New approximation for ARMA parameters estimate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 118(C), pages 116-122.
    3. Jean-Marie Dufour & Tarek Jouini, 2011. "Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models," CIRANO Working Papers 2011s-25, CIRANO.

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