Computation of the theoretical autocovariance function for a vector arma process

DOI10.1080/00949658008810423zbMATH Open0445.62099OpenAlexW2074176264MaRDI QIDQ3889971FDOQ3889971

Craig F. Ansley

Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658008810423

zbMATH Keywords

parameter estimationalgorithmresidual autocorrelationsvector ARMA processcomputation of theoretical autocovariance function

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• A canonical analysis of multiple time series
• Finite sample properties of estimators for autoregressive moving average models
• Time series analysis and simultaneous equation econometric models
• Title not available (Why is that?)
• Computation of the exact likelihood function of multivariate moving average models

Cited In (7)

• A note on the derivation of theoretical autocovariances for ARMA models
• A note on obtaining the theoretical autocovariances of an ARMA process
• The asymptotic covariance matrix of the multivariate serial correlations
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Tests for noncorrelation of two multivariate ARMA time series
• On consistent testing for serial correlation of unknown form in vector time series models.
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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