Computation of vector ARMA autocovariances

DOI10.1016/j.spl.2016.12.015zbMath1417.62253OpenAlexW2569385842MaRDI QIDQ514119

Tucker S. McElroy

Publication date: 28 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.12.015

zbMATH Keywords

algorithmmultivariate time seriesWold decomposition

Mathematics Subject Classification ID

Related Items (1)

Frequency Domain Calculation of Seasonal VARMA Autocovariances

Cites Work

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• Time series: theory and methods.
• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS

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