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A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION
Published online by Cambridge University Press: 01 October 1998
Abstract
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.
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- © 1998 Cambridge University Press