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

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dc.contributor.authorMauricio Arias, José Alberto
dc.date.accessioned2023-06-21T01:39:18Z
dc.date.available2023-06-21T01:39:18Z
dc.date.issued1995-03
dc.description.abstractThe 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.
dc.description.abstractEn esta nota se corrigen algunos errores del algoritmo de Kohn y Ansley (1982), que tienen que ver con la construcción de un sistema de ecuaciones lineales para calcular las matrices de autocovarianzas teóricas de un modelo ARMA multivariante.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/6478
dc.identifier.citationAnsley, C. F. (1980), "Computation of the Theoretical Autocovariance Function for a Vector ARMA Process," Journal of Statistical Computation and Simulation, 12, 15-24. Hall, A. D. and Nicholls, D. F. (1980), "The Evaluation of Exact Maximun Likelihood Estimates for VARMA Models," Journal of Statistical Computation and Simulanon, 10,251-262. Jenkins, G. M. and Alavi, A. S. (1981), "Some Aspects of Modeling and Forecasting Multivariate Time Series," Journal of Time Series Analysis, 2,1-47. Kohn, R. and Ansley, C. F. (1982), "A Note on Obtaining the Theoretical Autocovariances of an ARMA Process," Journal of Statistical Computation and Simulafion, 15,273-283. Mauricio, J. A. (1995), "Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models," Journal of the American Statistical Association, 90,282-291. Moler, C. B. (1972), "Algoritlun 423: Linear Equation Solver," Communications of the Association for Computing Machinery, 15, 274. Press, W. H., Teukolsky, S. A., Vetterling, W. T., and Flannery, B. P (1992), Numerical Recipes in C (2nd edition), Cambridge: Cambridge University Press. Shea, .B. L. (1988), "A Note on the Generation of Independent Realizations of a Vector Autoregressive Moving Average Process," Journal of Time Series Analysis, 9, 403-410. Shea, B. L. (1989), "Algoritbm AS 242: The Exact Likelihood of a Vector Autoregressive Moving-Average Model," Applied Statistics, 38,161-204.
dc.identifier.relatedurlhttp://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/64261
dc.issue.number02
dc.journal.titleInstituto Complutense de Análisis Económico - Documentos de Trabajo
dc.language.isoeng
dc.page.total8
dc.publication.placeMadrid
dc.publisherFacultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.keywordModelos ARMA
dc.subject.keywordAutocovarianzas
dc.subject.keywordMatrices
dc.subject.keywordARMA Model
dc.subject.keywordAutocovariance
dc.subject.ucmEstadística aplicada
dc.subject.ucmEconometría (Estadística)
dc.subject.unesco5302.04 Estadística Económica
dc.titleA corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model
dc.typetechnical report
dc.volume.number1995
dspace.entity.typePublication
relation.isAuthorOfPublicatione835cf57-9199-43c5-a77c-faea005cd3eb
relation.isAuthorOfPublication.latestForDiscoverye835cf57-9199-43c5-a77c-faea005cd3eb
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