Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes (Q1339766)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes |
scientific article; zbMATH DE number 700385
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes |
scientific article; zbMATH DE number 700385 |
Statements
Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes (English)
0 references
8 December 1994
0 references
An algebraic procedure is derived to compute the asymptotic covariance matrix of a vector of sample autocorrelations obtained from an \(\text{ARMA}(p,q)\) process.
0 references
asymptotic covariance matrix
0 references
sample autocorrelations
0 references
\(\text{ARMA}(p,q)\) process
0 references
