A Note on the Derivation of Theoretical Autocovariances for ARMA Models.

Abstract

Derivation of the theoretical autocovariances of an ARMA model is important for a number of purposes associated with the estimation and testing of the model. One common algorithm, due to McLeod, involves solving a system of linear equations. By deriving the determinant of the matrix of coefficients in these equations we can ascertain the behaviour of the algorithm with respect to the stationarity of the ARMA model. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1984
Accession Number
ADA140829

Entities

People

  • E. Mckenzie

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Autocorrelation
  • California
  • Computations
  • Covariance
  • Data Science
  • Equations
  • Information Science
  • Mathematics
  • Operations Research
  • Polynomials
  • Residuals
  • Schools
  • Stationary
  • Stationary Processes
  • Statistics
  • Technical Information Centers

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.