Melard, Guy; Roy, Roch; Saidi, Abdessamad - Solvay Brussels School of Economics and Management, … - 2006
The exact likelihood function of a Gaussian vector autoregressive-moving average (VARMA) model is evaluated in two nonstandard cases: (a) a parsimonious structured form, such as obtained in the echelon form structure or the scalar component model (SCM) structure; (b) a partially nonstationary...