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

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

ISSN: 2341-2356

Argitalpen urtea: 1995

Zenbakia: 2

Orrialdeak: 1-8

Mota: Laneko dokumentua

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Beste argitalpen batzuk: Documentos de Trabajo (ICAE)

Laburpena

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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