A note on the derivation of theoretical autocovariances for ARMA models

DOI10.1080/00949658608810898zbMath0613.62114OpenAlexW2074602359MaRDI QIDQ4720613

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Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/00949658608810898

zbMATH Keywords

stationarityARMA modeltheoretical autocovariancesMcLeod's algorithm

Mathematics Subject Classification ID

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

Cites Work

• Some efficient computational procedures for high order ARMA models
• Computation of the theoretical autocovariance function for a vector arma process
• Computation of the exact likelihood function of an arima process
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• A note on obtaining the theoretical autocovariances of an ARMA process
• When is an altoregressive scheme stationary

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