Hostname: page-component-669899f699-7xsfk Total loading time: 0 Render date: 2025-04-26T21:48:34.353Z Has data issue: false hasContentIssue false
  • English
  • Français

A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION

Acknowledgment of Priority and Correction Note: Econometric Theory (1998) 14 (5), 622–640

Published online by Cambridge University Press:  01 April 2000

Menelaos Karanasos
Menelaos Karanasos
Affiliation:
University of York
Get access Rights & Permissions [Opens in a new window]

Abstract

Karanasos (1998) presented a new method for computing the theoretical autocovariance function (acf) of the following univariate autoregressive moving average (ARMA) model:

Φ(L)yt = Θ(L)εt

where

Φ(L) = 1 − φ1L − … − φpLp, Θ(L) = 1 − θ1L − … − θqLq

Type
MISCELLANEA
Information
Econometric Theory , Volume 16 , Issue 2 , April 2000 , pp. 280 - 282
Copyright
© 2000 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable