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Full-Text Articles in Applied Statistics
Evaluation Of Multivariate Homogenous Arma Model, Lucy Chienhua Tseng
Evaluation Of Multivariate Homogenous Arma Model, Lucy Chienhua Tseng
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
The purpose of this thesis is to study a restricted multivariate AFRMA model, called the Homogeneous Model. This model is defined as one in which each univariate component of the multivariate model is of the same order in p and q as it is in the multivariate model.
From a mathematical respect, multivariate ARMA model is homogeneous if, and only if, its coefficient matrices are diagonal. From a physical respect, the present observation of a phenomenon can be modeled only by its own past observation and its present and past "errors."
The estimation procedures are developed based on maximum likelihood …