A note on the derivation of theoretical autocovariances for ARMA models
type: Item
instance of: scholarly article
title: A note on the derivation of theoretical autocovariances for ARMA models
zbMATH Open document ID: 0613.62114
DOI: 10.1080/00949658608810898
published in: Journal of Statistical Computation and Simulation
publication date: 1986-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 3992723
zbMATH Keywords: McLeod's algorithm
zbMATH Keywords: theoretical autocovariances
zbMATH Keywords: ARMA model
zbMATH Keywords: stationarity
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/00949658608810898
OpenAlex ID: W2074602359
cites work: An algorithm for the exact likelihood of a mixed autoregressive-moving average process
cites work: Computation of the theoretical autocovariance function for a vector arma process
cites work: Computation of the exact likelihood function of an arima process
cites work: A note on obtaining the theoretical autocovariances of an ARMA process
cites work: The likelihood function of stationary autoregressive-moving average models
cites work: When is an altoregressive scheme stationary
cites work: Some efficient computational procedures for high order ARMA models
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description: scientific article; zbMATH DE number 3992723