NDLI: Algorithm 878: Exact VARMA likelihood and its gradient for complete and incomplete data with Matlab

Content Provider	ACM Digital Library
Author	Jonasson, Kristjan
Copyright Year	2008
Abstract	Matlab functions for the evaluation of the exact log-likelihood of VAR and VARMA time series models are presented (vector autoregressive moving average). The functions accept incomplete data, and calculate analytical gradients, which may be used in parameter estimation with numerical likelihood maximization. Allowance is made for possible savings when estimating seasonal, structured or distributed lag models. Also provided is a function for creating simulated VARMA time series that have an accurate distribution from term one (they are $\textit{spin-up}$ free). The functions are accompanied by a a simple example driver, a program demonstrating their use for real parameter fitting, as well as a test suite for verifying their correctness and aid further development. The article concludes with description of numerical results obtained with the algorithm.
Starting Page	1
Ending Page	11
Page Count	11
File Format	PDF
ISSN	00983500
e-ISSN	15577295
DOI	10.1145/1377603.1377609
Volume Number	35
Issue Number	1
Journal	ACM Transactions on Mathematical Software (TOMS)
Language	English
Publisher	Association for Computing Machinery (ACM)
Publisher Date	2008-07-25
Publisher Place	New York
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	ARMA Exact likelihood function VARMA Incomplete data Missing values Vector autoregressive moving average model
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Software

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Algorithm 878: Exact VARMA likelihood and its gradient for complete and incomplete data with Matlab