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

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Mathematics Subject Classification ID

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

Cites Work

• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
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Cited In (8)

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

Uses Software

• AS 154

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