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

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

ISSN: 2341-2356

Datum der Publikation: 1995

Nummer: 2

Seiten: 1-8

Art: Arbeitsdokument

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Andere Publikationen in: Documentos de Trabajo (ICAE)

Zusammenfassung

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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