The covariance matrix of ARMA errors in closed form

DOI10.1016/0304-4076(94)90032-9zbMath0806.62070OpenAlexW2125607482MaRDI QIDQ1341185

Jan van der Leeuw

Publication date: 16 February 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90032-9

zbMATH Keywords

autoregressive moving average processexact ARMA covariance matrixgeneral matrix representation in closed form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Matrix equations and identities (15A24)

Related Items (6)

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model ⋮ Improved model selection criteria for SETAR time series models ⋮ A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model ⋮ A simplified approach to inverting the autocovariance matrix of a general \(\mathrm{ARMA}(p,q)\) process ⋮ A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors ⋮ The exact covariance matrix of dynamic models with latent variables

Cites Work

• Unnamed Item
• The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
• Some efficient computational procedures for high order ARMA models
• On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Linear Statistical Inference and its Applications

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