Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

Jose Alberto Mauricio
1995 Journal of the American Statistical Association  
The problems of evaluating and maximizing the exact likelihood function of vector ARMA models are considered separately. A new and efficient procedure far evaluating the exact likelihood function is presented. This method puts together a set of useful features which can only be found separately in currently available algoritluns. A procedure for maximizing the exact likeliliood function, which takes full advantage of the properties offered by the evaluation algorithm, is also considered,
more » ... considered, Combining these two procedures, a
doi:10.2307/2291152 fatcat:rjj64nzewjdftj5jgz7rg35m4m