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