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A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model

Mauricio, José Alberto (1995) A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 02, 1995, ]

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Abstract

The algorithm of Kohn and Ansley(1982)is reconsidered here, in arder to correct several implementation errors concerning the construction of the linear equations that must be solved for computing the theoretical autocovariance matrices of a vector ARMA model. This note presents a concise description of the corrected algorithm.

Resumen (otros idiomas)

En esta nota se corrigen algunos errores del algoritmo de Kohn y Ansley (1982), que tienen que ver con la construcción de un sistema de ecuaciones lineales para calcular las matrices de autocovarianzas teóricas de un modelo ARMA multivariante.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Modelos ARMA; Autocovarianzas; Matrices
Palabras clave (otros idiomas):ARMA Model; Autocovariance; Matrices
Subjects:Sciences > Mathematics > Applied statistics
Sciences > Statistics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:1995
Number:02
ID Code:6478
References:

Ansley, C. F. (1980), "Computation of the Theoretical Autocovariance Function for a Vector ARMA Process," Journal of Statistical Computation and Simulation, 12, 15-24.

Hall, A. D. and Nicholls, D. F. (1980), "The Evaluation of Exact Maximun Likelihood Estimates for VARMA Models," Journal of Statistical Computation and Simulanon, 10,251-262.

Jenkins, G. M. and Alavi, A. S. (1981), "Some Aspects of Modeling and Forecasting Multivariate Time Series," Journal of Time Series Analysis, 2,1-47.

Kohn, R. and Ansley, C. F. (1982), "A Note on Obtaining the Theoretical Autocovariances of an ARMA Process," Journal of Statistical Computation and Simulafion, 15,273-283.

Mauricio, J. A. (1995), "Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models," Journal of the American Statistical Association, 90,282-291.

Moler, C. B. (1972), "Algoritlun 423: Linear Equation Solver," Communications of the Association for Computing Machinery, 15, 274.

Press, W. H., Teukolsky, S. A., Vetterling, W. T., and Flannery, B. P (1992), Numerical Recipes in C (2nd edition), Cambridge: Cambridge University Press.

Shea, .B. L. (1988), "A Note on the Generation of Independent Realizations of a Vector Autoregressive Moving Average Process," Journal of Time Series Analysis, 9, 403-410.

Shea, B. L. (1989), "Algoritbm AS 242: The Exact Likelihood of a Vector Autoregressive Moving-Average Model," Applied Statistics, 38,161-204.

Deposited On:13 Nov 2007
Last Modified:21 Jan 2015 10:17

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