A note on the derivation of theoretical autocovariances for ARMA models
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Authors
McKenzie, Edward
Subjects
Theoretical ACVS
Stationarity
ARMA likelihood function
Stationarity
ARMA likelihood function
Advisors
Date of Issue
1984-02
Date
1984-02
Publisher
Monterey, CA; Naval Postgraduate School
Language
en_US
Abstract
Derivation of the theoretical autocovariances of an ARMA model is important
for a number of purposes associated with the estimation and testing of the
model. One common algorithm, due to McLeod (1975), involves solving a system
of linear equations. By deriving the determinant of the matrix of coefficients
in these equations we can ascertain the behaviour of the algorithm with
respect to the stationarity of the ARMA model.
Type
Technical Report
Description
Series/Report No
Department
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
NPS55-84-006
Sponsors
supported by the Naval Postgraduate School Foundation
Research Program under contract with the National Research Council
Funder
N0001483WR30104
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.