A note on the asymptotic generalised variance for a moving average process

DOI10.1007/BF02923063zbMath0338.62057OpenAlexW2112527184MaRDI QIDQ4107359

Oliver D. Anderson

Publication date: 1976

Published in: Statistische Hefte (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02923063

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• The recursive nature of the stationarity and invertibility restraints on the parameters of mixed autoregressive-moving average processes

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