The exact initial covariance matrix of the state vector of a general MA(q) process-Reference-Cited by-同舟云学术

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The exact initial covariance matrix of the state vector of a general MA(q) process

Published:1986-01 Issue:1 Volume:22 Page:27-31
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Diebold Francis X.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference8 articles.

1. Applications of Kalman filtering in econometrics;Engle;Paper presented to the World Congress of the Econometric Society,1985

2. An algorithm for exact maximum likelihood estimation of ARMA models by means of the Kalman filter;Gardner;Applied Statistics,1980

3. Tests based on movements and co-movements between m-dependent time series;Goodman,1963

4. Time series models;Harvey,1980

5. Analysis of economic time series: A synthesis;Nerlove,1979

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Recursive estimation in econometrics;Computational Statistics & Data Analysis;2003-10

2. Prediction and Signal Extraction;Handbook of Time Series Analysis, Signal Processing, and Dynamics;1999

3. The covariance matrix of ARMA errors in closed form;Journal of Econometrics;1994-08

4. Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models;Journal of Economic Dynamics and Control;1991-10

5. State space modeling of time series;Journal of Economic Dynamics and Control;1989-10

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