Accession Number:

ADA073788

Title:

Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CALIF DEPT OF STATISTICS

Personal Author(s):

Report Date:

1979-08-01

Pagination or Media Count:

94.0

Abstract:

The purpose of this paper is to derive asymptotically efficient estimates for the autoregressive matrix coefficients and moving average covariance matrices of the vector autoregressive moving average VARMA models in both time and frequency domains. To do this we shall apply the Newton-Raphson and scoring methods to the maximum likelihood equations derived from modified likelihood functions under the Gaussian Assumption.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE