RT Report
T1 A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model
A1 Mauricio Arias, José Alberto
AB 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.
AB En 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.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
YR 1995
FD 1995-03
LK https://hdl.handle.net/20.500.14352/64261
UL https://hdl.handle.net/20.500.14352/64261
LA eng
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DS Docta Complutense
RD 21 jul 2024