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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

M. Karanasos
Affiliation:
York University

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.

Type
Research Article
Copyright
© 1998 Cambridge University Press

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