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