Maximum likelihood estimation in vector long memory processes via EM algorithm

We present an approach for exact maximum likelihood estimation of parameters from univariate and multivariate autoregressive fractionally integrated moving average models with Gaussian errors using the Expectation Maximization (EM) algorithm. The method takes advantage of the relation between the VARFIMA(0,d,0) process and the corresponding VARFIMA(p,d,q) process in the computation of the likelihood.

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Year of publication:	2009
Authors:	Pai, Jeffrey ; Ravishanker, Nalini
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 53.2009, 12, p. 4133-4142
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006051