A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA
MODEL: AN EXACT FORM SOLUTION
Keyword(s):
In this article we present a new method for computing the theoretical autocovariance function of an autoregressive moving average model. The importance of our theorem is that it yields two interesting results: First, a closed-form solution is derived in terms of the roots of the autoregressive polynomial and the parameters of the moving average part. Second, a sufficient condition for the lack of model redundancy is obtained.
2006 ◽
Vol 295
(1-2)
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pp. 428-435
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2017 ◽
Vol 6
(3)
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pp. 67
1995 ◽
Vol 16
(3)
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pp. 339-353
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1996 ◽
Vol 99
(6)
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pp. 3528-3538
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