varmall¶
Purpose¶
Computes log-likelihood of a Vector ARMA model.
Format¶
-
ll =
varmall(w, phi, theta, vc)¶ Parameters: - w (NxK matrix) – time series.
- phi ((K*P)xK matrix) – AR coefficient matrices.
- theta ((K*Q)xK matrix) – MA coefficient matrices.
- vc (KxK matrix) – covariance matrix.
Returns: ll (scalar) –
log-likelihood. If the calculation fails ll is set to missing value with error code:
Error Code Reason for Failure 1 \(M < 1\) 2 \(N < 1\) 3 \(P < 0\) 4 \(Q < 0\) 5 \(P = 0\) and \(Q = 0\) 7 floating point work space too small 8 integer work space too small 9 vc is not positive definite 10 AR parameters too close to stationarity boundary 11 model not stationary 12 model not invertible 13 \(I+M'H'HM\) not positive definite