Accession Number:

ADA031116

Title:

Maximum Likelihood Estimation of Vector Autoregressive Moving Average Models.

Descriptive Note:

Technical rept.,

Corporate Author:

CARNEGIE-MELLON UNIV PITTSBURGH PA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1976-07-01

Pagination or Media Count:

25.0

Abstract:

A method is presented for the estimation of the parameters in the vector autoregressive moving average time series model. The estimation procedure is derived from the maximum likelihood approach and is based on Newton-Raphson techniques applied to the likelihood equations. The resulting two-step Newton-Raphson procedure is computationally simple, involving only generalized least squares estimation in the second step. This Newton-Raphson estimator is shown to be asymptotically efficient and to possess a limiting multivariate normal distribution. Author

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE