Portal de Periódicos da CAPES

The exact likelihood function of multivariate autoregressive-moving average models

1979; Oxford University Press; Volume: 66; Issue: 2 Linguagem: Inglês

10.1093/biomet/66.2.259

1464-3510

D. F. Nicholls, Anthony Hall,

Advanced Measurement and Detection Methods

By making use of the properties of tensor products, this paper describes the derivation of an expression for the exact likelihood function of a stationary process generated by a vector autoregressive-moving average model using concentrated maximum likelihood techniques. Furthermore, in the process of deriving the likelihood function, a closed form expression for the covariance function of the process in terms of the coefficients of the model is derived.