A complete VARMA modelling methodology based on scalar components

George Athanasopoulos; Farshid Vahid

doi:10.1111/j.1467-9892.2007.00568.x

A complete VARMA modelling methodology based on scalar components

George Athanasopoulos^*, Farshid Vahid

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

Abstract

This article proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.

Original language	English
Pages (from-to)	533-554
Number of pages	22
Journal	Journal of Time Series Analysis
Volume	29
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9892.2007.00568.x
Publication status	Published - May 2008

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title = "A complete VARMA modelling methodology based on scalar components",

abstract = "This article proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.",

keywords = "Identification, Multivariate time series, Scalar components, VARMA models",

author = "George Athanasopoulos and Farshid Vahid",

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AU - Vahid, Farshid

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AB - This article proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.

KW - Identification

KW - Multivariate time series

KW - Scalar components

KW - VARMA models

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JO - Journal of Time Series Analysis

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A complete VARMA modelling methodology based on scalar components

Abstract

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