A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model

  1. Mauricio Arias, José Alberto
Revista:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Any de publicació: 1995

Número: 2

Pàgines: 1-8

Tipus: Document de treball

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Altres publicacions en: Documentos de Trabajo (ICAE)

Resum

The algorithm of Kohn and Ansley(1982)is reconsidered here, in arder to correct several implementation errors concerning the construction of the linear equations that must be solved for computing the theoretical autocovariance matrices of a vector ARMA model. This note presents a concise description of the corrected algorithm.

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