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Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes
Authors:Stefan Mittnik
Affiliation:Department of Economics , State University of New York , Stony Brook, NY, 11794-4384, USA
Abstract:
Closed form expressions for the theoretical autocovariance and autocorrelation function of mixed autoregressive moving average processes are presented. The results provide insight into the construction of autocovariances and autocorrelatians and are useful in theoretical analysis, model identification as well as in implementing maximum likelihood estimation algorithms.
Keywords:autoregressive moving average model  auto covariance function  autocorrelation function  maximum likdlihood
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