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Reply To: complexity of VARMA and ARIMA

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#3411
Ryu
Member

Hello,

The univariate and multivariate versions essentially use the same algorithm. You can check the references:

Univariate:
P. J. Brockwell and R. A. Davis, “Section 5.3, Chapter 5, Recursive Prediction of an ARMA(p, q) Process,” Time Series: Theory and Methods, Springer, 2006.

Multivariate:
P. J. Brockwell and R. A. Davis, “Chapter 5.3, Recursive Prediction of an ARMA(p,q) Process,” Time Series: Theory and Methods, Springer, 2006.

P. J. Brockwell and R. A. Davis, “Eqs. 11.4.26, 11.4.27, 11.4.28, Chapter 11.4, Recursive Prediction of an ARMA(p,q) Process, Best Linear Predictors of Second Order Random Vectors,” Time Series: Theory and Methods, Springer, 2006.