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

DOI10.1016/0165-1765(86)90137-0MaRDI QIDQ899861zbMATH OpenOpenAlexFDO

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

Cited in

(8)

• The covariance matrix of ARMA errors in closed form
• Computing the covariance matrix of QML estimators for a state space model
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• 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

Describes a project that uses

Uses Software

• AS 154

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