Affiliation:
1. University of Iceland, Reykjavik, Iceland
2. Ryerson University
Abstract
A detailed description of an algorithm for the evaluation and differentiation of the likelihood function for VARMA processes in the general case of missing values is presented. The method is based on combining the Cholesky decomposition method for complete data VARMA evaluation and the Sherman-Morrison-Woodbury formula. Potential saving for pure VAR processes is discussed and formulae for the estimation of missing values and shocks are provided. A theorem on the determinant of a low rank update is proved. Matlab implementation of the algorithm is in a companion article.
Publisher
Association for Computing Machinery (ACM)
Subject
Applied Mathematics,Software
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