nag_tsa_multi_varma_estimate (g13ddc) Example Program Results
VALUE OF LOG LIKELIHOOD FUNCTION ON EXIT = -0.20280E+03
MAXIMUM LIKELIHOOD ESTIMATES OF AR PARAMETER MATRICES
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PHI(1) ROW-WISE : 0.802 0.065
( 0.091)( 0.102)
0.000 0.575
( 0.000)( 0.121)
MAXIMUM LIKELIHOOD ESTIMATE OF PROCESS MEAN
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4.271 7.825
( 1.219)( 0.776)
MAXIMUM LIKELIHOOD ESTIMATE OF SIGMA MATRIX
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2.964
0.637 5.380
RESIDUAL SERIES NUMBER 1
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T 1 2 3 4 5 6 7 8
V(T) -3.33 -1.24 5.75 1.27 0.32 0.11 -1.27 -0.73
T 9 10 11 12 13 14 15 16
V(T) -0.58 -1.26 -0.67 -1.13 -2.02 -0.57 1.24 -0.13
T 17 18 19 20 21 22 23 24
V(T) -0.77 -2.09 1.34 0.95 1.71 0.23 -0.01 -0.60
T 25 26 27 28 29 30 31 32
V(T) -0.68 -1.89 -0.77 2.05 2.11 0.94 -3.32 -2.50
T 33 34 35 36 37 38 39 40
V(T) 3.16 0.47 0.05 2.77 -0.82 0.25 3.99 0.20
T 41 42 43 44 45 46 47 48
V(T) -0.70 1.07 0.44 0.28 1.09 0.50 -0.10 1.70
RESIDUAL SERIES NUMBER 2
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T 1 2 3 4 5 6 7 8
V(T) -0.19 -1.20 -0.02 1.21 -1.62 -2.16 -1.63 -1.13
T 9 10 11 12 13 14 15 16
V(T) -1.34 -1.30 4.82 0.43 2.54 0.35 -2.88 -0.77
T 17 18 19 20 21 22 23 24
V(T) 1.02 -3.85 -1.92 0.13 -1.20 0.41 1.03 -0.40
T 25 26 27 28 29 30 31 32
V(T) -1.09 -1.07 3.43 -0.08 9.17 -0.23 -1.34 -2.06
T 33 34 35 36 37 38 39 40
V(T) -3.16 -0.61 -1.30 0.48 0.79 2.87 2.38 -4.31
T 41 42 43 44 45 46 47 48
V(T) 2.32 -1.01 2.38 1.29 -1.14 0.36 2.59 2.64