The exact likelihood function of multivariate autoregressive-moving average models
BiometrikaPublished 1 January 1979
D. F. Nicholls, Anthony Hall
Citations70
SJR quartileQ1
SJR score3.60
SNIP2.67
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Abstract
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.
Keywords
Decision SciencesEngineering
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