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Kohn, Robert; Ansley, Craig

A note on obtaining the theoretical autocovariances of an ARMA process. (English) Zbl 0505.62080

J. Stat. Comput. Simulation 15, 273-283 (1982).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0505.62080

Cited in 8 Documents

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99 Probabilistic methods, stochastic differential equations
65F10 Iterative numerical methods for linear systems

Keywords:

theoretical autocovariances; likelihood of stationary ARMA process; stable fixed point iteration; vector ARMA

Citations:

Zbl 0445.62099

Software:

AS 154
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Full Text: DOI

References:

[1] Ansley C.F., Biometrika 66 pp 59– (1979) · Zbl 0411.62059 · doi:10.1093/biomet/66.1.59
[2] Ansley C.F., Journal of Statistical Computation and Simulation 12 pp 15– (1980) · Zbl 0445.62099 · doi:10.1080/00949658008810423
[3] Gardner G., Applied Statistics 29 pp 311– (1980) · Zbl 0471.62098 · doi:10.2307/2346910
[4] Jones R.H., Technometrics 22 pp 389– (1980) · doi:10.1080/00401706.1980.10486171
[5] Mcleod A.I., Applied Statistics 24 pp 255– (1975) · doi:10.2307/2346573
[6] Nicholls D.F., Journal of Statistical Computation and Simulation 10 pp 251– (1980) · Zbl 0433.62062 · doi:10.1080/00949658008810373
[7] Stewart G.W., Introduction to Matrix Computations (1973) · Zbl 0302.65021
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