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Communications in Statistics - Simulation and Computation Volume 37, 2008 - Issue 5
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Time Series Analysis

A Note on Calculating Autocovariances of Periodic ARMA Models

Abdelhakim Aknouche Faculty of Mathematics, University of Sciences and Technology Houari Boumediene, Algiers, AlgeriaCorrespondence[email protected]
,
Hacène Belbachir Faculty of Mathematics, University of Sciences and Technology Houari Boumediene, Algiers, Algeria
&
Fayçal Hamdi Faculty of Mathematics, University of Sciences and Technology Houari Boumediene, Algiers, Algeria
Pages 924-927 | Received 29 Nov 2006, Accepted 10 Dec 2007, Published online: 23 Apr 2008
 
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Abstract

An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (PARMA) models is provided.

2000 Mathematics Subject Classification:

Acknowledgments

The authors are deeply grateful to an anonymous referee for his judicious comments that have improved the quality of the note.

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