The determination of the state covariance matrix of moving-average processes without computation
type: Item
instance of: scholarly article
title: The determination of the state covariance matrix of moving-average processes without computation
zbMATH Open document ID: 1328.62530
DOI: 10.1016/0165-1765(87)90034-6
author: Stefan Mittnik
published in: Economics Letters
publication date: 2016-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6525183
describes a project that uses: AS 154
MaRDI profile type: Publication
full work available at URL: 0165-1765(87)90034-6
OpenAlex ID: W2012650659
cites work: The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
cites work: Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
description: scientific article; zbMATH DE number 6525183