TY  - UNPD
A1  - Zadrozny, Peter A.
T1  - Extended Yule-Walker identification of varma models with single- or mixed frequency data
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 526
N2  - Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW method to an extended XYW method for determining all ARMA parameters of a vector autoregressive moving-average (VARMA) model with available covariances of single- or mixed-frequency observations on the variables of the model. The paper proves that under conditions of stationarity, regularity, miniphaseness, controllability, observability, and diagonalizability on the parameters of the model, the parameters are determined uniquely with available population covariances of single- or mixed-frequency observations on the variables of the model, so that the VARMA model is identified with the single- or mixed-frequency covariances.
T3  - CFS working paper series - 526 
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/39295
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-392957
UR  - http://ssrn.com/abstract=2714330
IS  - November 14, 2015
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -