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A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMAMODEL: AN EXACT FORM SOLUTION

Published online by Cambridge University Press:  01 October 1998

M. Karanasos
Affiliation:
York University
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Abstract

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In this article we present a new method for computing the theoreticalautocovariance function of an autoregressive moving average model.The importance of our theorem is that it yields two interestingresults: First, a closed-form solution is derived in terms of theroots of the autoregressive polynomial and the parameters of themoving average part. Second, a sufficient condition for the lack ofmodel redundancy is obtained.

Information

Type
Research Article
Copyright
© 1998 Cambridge University Press