A note on the derivation of theoretical autocovariances for ARMA models
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/00949658608810898
Reference10 articles.
1. An algorithm for the exact likelihood of a mixed autoregressive-moving average process
2. Computation of the theoretical autocovariance function for a vector arma process
3. On the finite sample distribution of residual autocorrelations in autoregressive-moving average models
4. Computation of the exact likelihood function of an arima process
5. A note on obtaining the theoretical autocovariances of an ARMA process
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1. Asymptotics of Alternative Interdependence Measures for Bivariate $$\alpha -$$Stable Autoregressive Model of Order 1;Applied Condition Monitoring;2021-07-22
2. Fractional lower order covariance-based estimator for bidimensional AR(1) model with stable distribution;International Journal of Advances in Engineering Sciences and Applied Mathematics;2019-09
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