Computation of the theoretical autocovariance function for a vector arma process
- 1 December 1980
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 12 (1) , 15-24
- https://doi.org/10.1080/00949658008810423
Abstract
The theoretical autocovariance function of a vector ARMA process arises in maximum likelihood estimation and forecasting of vector processes, and in the determination of the distributions of parameter estimators and residual autocorrelations in both vector and scalar processes. An algorithm for computing the theoretical autocovariances is presented, together with suggestions for its efficient implementation.Keywords
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