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Journal of Statistical Computation and Simulation Volume 15, 1982 - Issue 4
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Original Articles

A note on obtaining the theoretical autocovariances of an ARMA process

Robert Kohn Graduate School of Business, University of Chicago, Chicago, ILL, 60637, U.S.A
&
Craig Ansley Graduate School of Business, University of Chicago, Chicago, ILL, 60637, U.S.A
Pages 273-283 | Received 11 Mar 1981, Published online: 20 Mar 2007

Citations (22)

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Read on this site (5)

José Alberto Mauricio. (1995) Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models. Journal of the American Statistical Association 90:429, pages 282-291.
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John Geweke. (1989) Comment. Journal of the American Statistical Association 84:405, pages 28-30.
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Stefan Mittnik. (1988) Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes. Communications in Statistics - Theory and Methods 17:11, pages 3825-3831.
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Ed McKenzie. (1986) A note on the derivation of theoretical autocovariances for ARMA models. Journal of Statistical Computation and Simulation 24:2, pages 159-162.
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Craig F. Ansley & Robert Kohn. (1986) A note on reparameterizing a vector autoregressive moving average model to enforce stationarity. Journal of Statistical Computation and Simulation 24:2, pages 99-106.
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Articles from other publishers (17)

Abdelkamel Alj, Kristján Jónasson & Guy Mélard. (2016) The exact Gaussian likelihood estimation of time-dependent VARMA models. Computational Statistics & Data Analysis 100, pages 633-644.
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Guy Mélard, Roch Roy & Abdessamad Saidi. (2006) Exact maximum likelihood estimation of structured or unit root multivariate time series models. Computational Statistics & Data Analysis 50:11, pages 2958-2986.
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André Klein & Guy Mélard. (2004) An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models. Journal of Time Series Analysis 25:5, pages 627-648.
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. 1994. Time Series Modelling of Water Resources and Environmental Systems. Time Series Modelling of Water Resources and Environmental Systems 779 806 .
Stefan Mittnik. (1993) Computing Theoretical Autocovariances of Multivariate Autoregressive Moving Average Models by Using a Block Levinson Method. Journal of the Royal Statistical Society Series B: Statistical Methodology 55:2, pages 435-440.
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Stefan Mittnik. 1992. Computational Economics and Econometrics. Computational Economics and Econometrics 33 42 .
Stefan Mittnik. (1991) Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models. Journal of Economic Dynamics and Control 15:4, pages 731-740.
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Stefan Mittnik. (1990) Computation of Theoretical Autocovariance Matrices of Multivariate Autoregressive Moving Average Time Series. Journal of the Royal Statistical Society Series B: Statistical Methodology 52:1, pages 151-155.
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André Klein & Guy Mélard. (2008) FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE‐MOVING AVERAGE MODELS. Journal of Time Series Analysis 11:3, pages 231-237.
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C. Jimenez, A. I. McLeod & K. W. Hipel. (1989) Kalman filter estimation for periodic autoregressive-moving average models. Stochastic Hydrology and Hydraulics 3:3, pages 227-240.
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P.A. ZADROZNY. 1989. System-Theoretic Methods in Economic Modelling II. System-Theoretic Methods in Economic Modelling II 539 553 .
P.A. Zadrozny. (1989) Analytic derivatives for estimation of linear dynamic models. Computers & Mathematics with Applications 18:6-7, pages 539-553.
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B. L. Shea. (2008) A NOTE ON THE GENERATION OF INDEPENDENT REALIZATIONS OF A VECTOR AUTOREGRESSIVE MOVING‐AVERAGE PROCESS. Journal of Time Series Analysis 9:4, pages 403-410.
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Peter Zadrozny. (2010) Gaussian Likelihood of Continuous-Time ARMAX Models When Data Are Stocks and Flows at Different Frequencies. Econometric Theory 4:1, pages 108-124.
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S. Mittnik. (1988) Efficient generation of covariance sequences of multiple ARMA processes. Efficient generation of covariance sequences of multiple ARMA processes.
B. L. Shea. (2008) ESTIMATION OF MULTIVARIATE TIME SERIES. Journal of Time Series Analysis 8:1, pages 95-109.
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Fernando Camacho, A. Ian McLeod & Keith W. Hipel. (2007) CONTEMPORANEOUS AUTOREGRESSIVE‐MOVING AVERAGE (CARMA) MODELING IN WATER RESOURCES 1 . JAWRA Journal of the American Water Resources Association 21:4, pages 709-720.
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