Computation of vector ARMA autocovariances

Tucker McElroy ()

Statistics & Probability Letters, 2017, vol. 124, issue C, 92-96

Abstract: This note describes an algorithm for computing the autocovariance sequence of a VARMA process, without requiring the intermediary step of determining the Wold representation. Although the recursive formula for the autocovariances is well-known, the initialization of this recursion in standard treatments (such as Brockwell and Davis (1991) or Lütkepohl (2007)) is slightly nuanced; we provide explicit formulas and algorithms for the initial autocovariances.

Keywords: Algorithm; Multivariate time series; Wold decomposition (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.12.015

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