Frequency Domain Calculation of Seasonal VARMA Autocovariances

DOI10.1080/10618600.2021.1981343OpenAlexW3199193001MaRDI QIDQ5083379FDOQ5083379

Authors: Tucker S. McElroy 

Publication date: 22 June 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10618600.2021.1981343

zbMATH Keywords

spectral densityvector time seriesadjoint polynomial

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Time series: theory and methods.
• Title not available (Why is that?)
• Computation of vector ARMA autocovariances
• Constrained Estimation of Causal Invertible VARMA

Cited In (1)

• Calculating the autocovariances and the likelihood for periodic V ARMA models

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