Computation of the theoretical autocovariance function for a vector arma process

DOI10.1080/00949658008810423zbMath0445.62099OpenAlexW2074176264MaRDI QIDQ3889971

Craig F. Ansley

Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658008810423

zbMATH Keywords

algorithmparameter estimationresidual autocorrelationsvector ARMA processcomputation of theoretical autocovariance function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ The asymptotic covariance matrix of the multivariate serial correlations ⋮ On consistent testing for serial correlation of unknown form in vector time series models. ⋮ Tests for noncorrelation of two multivariate ARMA time series ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ A note on the derivation of theoretical autocovariances for ARMA models ⋮ A note on obtaining the theoretical autocovariances of an ARMA process

Cites Work

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• Finite sample properties of estimators for autoregressive moving average models
• Time series analysis and simultaneous equation econometric models
• Computation of the exact likelihood function of multivariate moving average models
• A canonical analysis of multiple time series

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