Some efficient computational procedures for high order ARMA models
- 1 January 1979
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 8 (3-4) , 301-309
- https://doi.org/10.1080/00949657908810273
Abstract
Recursive methods are commonly used to solve Yule—Walker equations for autoregrsssive parameters given an autocovariance function. The reverse procedure can be extended to the efficient solution of various sets of equations which arise in time series analysis. Those presented in this paper include computation of the autocovariance function of an ARMA model, and the Cramer—Wold factorization.Keywords
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