An algorithm for the exact likelihood of a stationary vector autoregressive-moving average model

2002 ◽  
Vol 23 (4) ◽  
pp. 473-486 ◽  
Author(s):  
JOSE ALBERTO MAURICIO
Author(s):  
Boping Tian ◽  
Yangchun Zhang ◽  
Wang Zhou

In this paper, we derive the Tracy–Widom law for the largest eigenvalue of sample covariance matrix generated by the vector autoregressive moving average model when the dimension is comparable to the sample size. This result is applied to make inference on the vector autoregressive moving average model. Simulations are conducted to demonstrate the finite sample performance of our inference.


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