A Fast Estimation Method for the Vector Autoregressive Moving Average Model with Exogenous Variables
含外生变量的向量自回归移动平均模型的快速估计方法
A very fast and simple algorithm for estimation of the parameters of large multivariate time series and distributed lag models is presented. An analysis of the distribution of the estimates shows that they are asymptotically normal and unbiased, and that they have a variance that decreases like 1/n, n being the sample size. The algorithm is especially applicable for estimation of large multivariate models where it is generally many times faster than maximalization algorithms.