A Note on Calculating Autocovariances of PeriodicARMAModels
From MaRDI portal
Publication:3625317
DOI10.1080/03610910801943537zbMATH Open1160.62346arXiv0709.2776OpenAlexW2095786535MaRDI QIDQ3625317FDOQ3625317
Fayçal Hamdi, Hacène Belbachir, Abdelhakim Aknouche
Publication date: 12 May 2009
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Abstract: An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (PARMA) models is provided.
Full work available at URL: https://arxiv.org/abs/0709.2776
Cites Work
- Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
- Recursive prediction and likelihood evaluation for periodic ARMA models
- Causality conditions and autocovariance calculations in PVAR models
- An algorithm for the exact likelihood of periodic autoregressive moving average models
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
Cited In (4)
Recommendations
- A note on the derivation of theoretical autocovariances for ARMA models 👍 👎
- Calculating the autocovariances and the likelihood for periodic V ARMA models 👍 👎
- Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models 👍 👎
- Covariances between estimated autocorrelations of an ARMA process 👍 👎
- ESTIMATION IN MULTIPLE AUTOREGRESSIVE-MOVING AVERAGE MODELS USING PERIODICITY 👍 👎
- A note on calculating autocovariances of long‐memory processes 👍 👎
- PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS 👍 👎
- On periodic autoregressive processes estimation 👍 👎
This page was built for publication: A Note on Calculating Autocovariances of PeriodicARMAModels
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3625317)
