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Derivation of the Theoretical Autocovariance Function of Autoregressive‐Moving Average Time Series

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  • Ian McLeod

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  • Ian McLeod, 1977. "Derivation of the Theoretical Autocovariance Function of Autoregressive‐Moving Average Time Series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(2), pages 194-194, June.
    • Handle: RePEc:bla:jorssc:v:26:y:1977:i:2:p:194-194
    DOI: 10.2307/2347029
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    Cited by:

    1. William R. Bell & Donald E. K. Martin, 2004. "Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 603-623, July.
    2. Mimura, Masayasu & Tsujikawa, Tohru, 1996. "Aggregating pattern dynamics in a chemotaxis model including growth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 230(3), pages 499-543.
    3. Ronald W. Butler & Marc S. Paolella, 2017. "Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations," Econometrics, MDPI, vol. 5(3), pages 1-33, September.
    4. vdr Leeuw, J.L., 1997. "Maximum Likelihood Estimation of Exact ARMA Models," Other publications TiSEM a1cdd9b8-93d9-460c-a0c9-1, Tilburg University, School of Economics and Management.

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