The covariance matrix of ARMA errors in closed form
type: Item
instance of: scholarly article
title: The covariance matrix of ARMA errors in closed form
zbMATH Open document ID: 0806.62070
DOI: 10.1016/0304-4076(94)90032-9
author: Jan van der Leeuw
published in: Journal of Econometrics
publication date: 1995-02-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 15A24
zbMATH DE Number: 706568
zbMATH Keywords: autoregressive moving average process
zbMATH Keywords: exact ARMA covariance matrix
zbMATH Keywords: general matrix representation in closed form
MaRDI profile type: Publication
full work available at URL: 0304-4076(94)90032-9
OpenAlex ID: W2125607482
cites work: Q3208805
cites work: The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
cites work: On the inverses of some patterned matrices arising in the theory of stationary time series
cites work: On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process
cites work: Linear Statistical Inference and its Applications
cites work: Some efficient computational procedures for high order ARMA models
description: scientific article; zbMATH DE number 706568