A note on obtaining the theoretical autocovariances of an ARMA process
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Publication:4742199
DOI10.1080/00949658208810594zbMath0505.62080OpenAlexW2083378578MaRDI QIDQ4742199
Publication date: 1982
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658208810594
theoretical autocovariancesvector ARMAlikelihood of stationary ARMA processstable fixed point iteration
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Iterative numerical methods for linear systems (65F10) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
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- Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process