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Ansley, Craig F.

Computation of the theoretical autocovariance function for a vector ARMA process. (English) Zbl 0445.62099

J. Stat. Comput. Simulation 12, 15-24 (1980).
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scan of Zbl 0445.62099

Cited in 1 Review
Cited in 7 Documents

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99 Probabilistic methods, stochastic differential equations

Keywords:

computation of theoretical autocovariance function; vector ARMA process; algorithm; parameter estimation; residual autocorrelations
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References:

[1] Ansley C.F., Journal of Econometrics 13 pp 159– (1980) · Zbl 0432.62063 · doi:10.1016/0304-4076(80)90013-5
[2] Ansley C.F., Biometrika 66 (1979)
[3] Ansley C.F., On the bias in estimates of forecast error variance (1979)
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[10] Johnston J., Econometric Methods (1972)
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[12] Mcleod A.I., Applied Statistics 24 pp 255– (1975) · doi:10.2307/2346573
[13] Mcleod A.I., Journal of the Royal Statistical Society 40 pp 296– (1978)
[14] Osborn D.R., Journal of the Royal Statistical Society 39 pp 114– (1977)
[15] Phadke M.S., Biometrika 65 pp 511– (1978) · Zbl 0413.62077 · doi:10.1093/biomet/65.3.511
[16] Zellner A., Journal of Econometrics 2 pp 17– (1974) · Zbl 0282.90011 · doi:10.1016/0304-4076(74)90028-1
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.