Título:
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A corrected algorithm for computing the theoretical autocovariance matrices of a vector ARMA model
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Autores:
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Mauricio Arias, José Alberto
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1995-03
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Estadística aplicada
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Materia = Ciencias: Estadística: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/6478/1/JAM295.pdf
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