A Fast Algorithm for the Exact Likelihood of Stationary and Partially Nonstationary Vector Autoregressive-Moving Average Processes
平稳与部分非平稳 VARMA 过程精确似然的快速算法
An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very efficient numerically and applies to any stationary but not necessarily invertible model. In particular, when the multivariate process is autoregressive, the exact likelihood can be evaluated with a small number of operations depending on the order of the autoregressive operator and the process dimension, but not on the size of the…