Iterative versus noniterative derivation of moving average parameters of ARMA processes

DOI10.1016/0893-9659(88)90178-4zbMath0629.62093OpenAlexW1976997740MaRDI QIDQ1094063

Stefan Mittnik

Publication date: 1988

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0893-9659(88)90178-4

zbMATH Keywords

Monte Carlo studyiterative methodsmixed ARMA processmoving average coefficientsnoniterative approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Factorization of the Covariance Generating Function of a Pure Moving Average Process

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