
Accession Number : ADA140829
Title : A Note on the Derivation of Theoretical Autocovariances for ARMA Models.
Descriptive Note : Technical rept.,
Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CA
Personal Author(s) : McKenzie,E
PDF Url : ADA140829
Report Date : Feb 1984
Pagination or Media Count : 11
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)
Descriptors : *Statistical functions, *Regression analysis, Mathematical models, Linear algebraic equations, Algorithms, Stationary
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE