Metaxoglou, Konstantinos; Smith, Aaron - In: Journal of Time Series Analysis 28 (2007) 5, pp. 666-685
We introduce a state-space representation for vector autoregressive moving-average models that enables maximum likelihood estimation using the EM algorithm. We obtain closed-form expressions for both the E- and M-steps; the former requires the Kalman filter and a fixed-interval smoother, and the...