Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes

DOI10.1080/03610928808829837zbMath0696.62348OpenAlexW1986538421MaRDI QIDQ3474139

Stefan Mittnik

Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829837

zbMATH Keywords

maximum likelihoodautocorrelation functionautocovariance functionautoregressive moving average processes

Mathematics Subject Classification ID

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

Cites Work

• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
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