×

A note on the exact transformation associated with the first-order moving average process. (English) Zbl 0458.62079


MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05 Linear regression; mixed models
PDF BibTeX XML Cite
Full Text: DOI

References:

[1] Arato, M., On the sufficient statistics for stationary Gaussian random processes, Theor. probability appl., 6, 199-201, (1972) · Zbl 0209.19404
[2] Balestra, Pietro, Calcul matriciel pour √©conomistes, (1972), Castella Albeuve · Zbl 0447.15001
[3] Balestra, Pietro, Determinant and inverse of a sum of matrices with applications in economics and statistics, (), April · Zbl 0224.62032
[4] Corradi, Corrado, A note on the computation of maximum likelihood estimates in linear regression models with autocorrelated errors, Journal of econometrics, 11, no. 2/3, 303-318, (1979) · Zbl 0427.62048
[5] Nerlove, Marc; Grether, David M.; Carvalho, L., Studies in the analysis of economic time series, (1979), University of Chicago Press Chicago, IL · Zbl 0473.62077
[6] Shaman, Paul, On the inverse of the covariance matrix of a first order moving average, Biometrika, 56, no. 3, 595-600, (1969)
[7] Theil, Henri, Optimal decision rules for government and industry, (1964), North-Holland Amsterdam · Zbl 0152.18507
[8] Zellner, A.; Geisel, M., Analysis of distributed lag models with applications to consumption function estimation, Econometrica, 38, no. 6, 865-888, (1970) · Zbl 0214.45702
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.