A note on the derivation of theoretical autocovariances for ARMA models
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.