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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, ]
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Official URL: http://eprints.ucm.es/6478/
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 |
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