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