A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model
ISSN: 2341-2356
Year of publication: 1995
Issue: 2
Pages: 1-8
Type: Working paper
More publications in: Documentos de Trabajo (ICAE)
Abstract
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.