The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
type: Item
instance of: scholarly article
title: The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
zbMATH Open document ID: 1328.62515
DOI: 10.1016/0165-1765(86)90137-0
author: Francis X. Diebold
published in: Economics Letters
publication date: 2016-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6525053
describes a project that uses: AS 154
MaRDI profile type: Publication
full work available at URL: 0165-1765(86)90137-0
OpenAlex ID: W2041024525
cites work: Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
cites work: Q5727222
cites work: Q3915869
cites work: Q3928088
cites work: The exact likelihood function for a mixed autoregressive-moving average process
cites work: Q5626055
description: scientific article; zbMATH DE number 6525053