Write down the structure of a three-dimensional VARMA model if the vector time series has the following

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Write down the structure of a three-dimensional VARMA model if the vector time series has the following three components: $\operatorname{SCM}(0,0), \operatorname{SCM}(0,1)$, and $\operatorname{SCM}(2,1)$. Are there any redundant parameters? Why?

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Multivariate Time Series Analysis

ISBN: 9781118617908

1st Edition

Authors: Ruey S. Tsay

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Question Posted: May 08, 2024 01:12 AM

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Write down the structure of a three-dimensional VARMA model if the vector time series has the following

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Multivariate Time Series Analysis

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