Question: Write down the structure of a three-dimensional VARMA model if the Kronecker indices of the vector time series are ({1,2,1}). How many parameters does the
Write down the structure of a three-dimensional VARMA model if the Kronecker indices of the vector time series are \(\{1,2,1\}\). How many parameters does the model employ if it includes the constant vector? You may exclude the covariance matrix \(\boldsymbol{\Sigma}_{a}\) of the innovations in the calculation.
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
