Maximum Likelihood Estimation of the VAR(1) Model Parameters with Missing Observations

Figure 1

Graphical representation of GI₁. The data were obtained from a VAR(1) Model, with 𝛼₀=𝛽₀=0, 𝛼₁=0.6, 𝛽₁=0.7, and 𝛽₂=0.8.

(a) 𝜌_𝜖𝜉=0.1

(b) 𝜌_𝜖𝜉=0.5

(c) 𝜌_𝜖𝜉=0.75

(d) 𝜌_𝜖𝜉=0.9