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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. [Working Paper or Technical Report]

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Abstract

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
Subjects:Sciences > Mathematics > Applied statistics
Sciences > Statistics > Econometrics
Series Name:Instituto Complutense de Análisis Económico. Documentos de trabajo
Volume:UNSPECIFIED
Number:9502
ID Code:6478
Deposited On:13 Nov 2007
Last Modified:06 Feb 2014 07:48

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