Universidad Complutense de Madrid
E-Prints Complutense

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

Impacto

Downloads

Downloads per month over past year



Mauricio Arias, 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, ]

[img]
Preview
PDF
67kB

Official URL: http://eprints.ucm.es/6478/


URLURL Type
http://www.ucm.es/icaeOrganisation


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
Deposited On:13 Nov 2007
Last Modified:25 Feb 2015 13:11

Origin of downloads

Repository Staff Only: item control page