A proof of a relationship between the generalized variances for associated autoregressive and moving average processes

DOI10.1007/BF01893473zbMath0411.62058OpenAlexW1978915179MaRDI QIDQ1259389

Oliver D. Anderson

Publication date: 1979

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/175768

zbMATH Keywords

autoregressive processmoving average processesgeneralized variancescommon parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• On the inverse of the autocovariance matrix for a general moving average process
• A note on the asymptotic generalised variance for a moving average process

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