This article proposes an extension to scalar component methodology for the identification and estimation of VARMA models. The complete methodology determines the exact positions of all free parameters in any VARMA model with a predetermined embedded scalar component structure. This leads to an exactly identified system of equations that is estimated using full information maximum likelihood.
No takes yet. Share an insight, caveat, or question.
Athanasopoulos et al. (2008) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: