UMBC High Performance Computing Facility
Estimation of VARMA models
Anindya Roy, Mathematics and Statistics
Peter Linton, Mathematics and Statistics
Tucker McElroy, US Census Bureau
Maximum likelihood estimation of the VARMA model under causality constraints.
The standard likelihood evaluation via innovations algorithm is fast, but for
not fast enough for iterative calulations. Thus, for estimation it is
imperative that likelihood evaluations are done fast enough. The objective
will be to figure out a way to compute the likelihood within any iterative
scheme that would permit estimation in a reasonable time frame