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

DOI10.1016/0165-1765(86)90137-0zbMath1328.62515OpenAlexW2041024525MaRDI QIDQ899861

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)

Related Items (7)

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

Uses Software

• AS 154

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
• The exact likelihood function for a mixed autoregressive-moving average process

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