The exact initial covariance matrix of the state vector of a general MA(q) process

DOI10.1016/0165-1765(86)90137-0zbMATH Open1328.62515OpenAlexW2041024525MaRDI QIDQ899861FDOQ899861

Authors Francis X. Diebold 

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90137-0

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3190869 (Why is no real title available?)
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• The exact likelihood function for a mixed autoregressive-moving average process

Cited in

(8)

• State space modeling of time series: A review essay
• The determination of the state covariance matrix of moving-average processes without computation
• Exact likelihood function for a regression model with \(MA(1)\) errors
• Recursive estimation in econometrics
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• Computing the covariance matrix of QML estimators for a state space model
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• The covariance matrix of ARMA errors in closed form

Describes a project that uses

Uses Software

• AS 154

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