Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes
作者： Stefan Mittnik
DOI: 10.1080/03610928808829837
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摘要: Closed form expressions for the theoretical autocovariance and autocorrelation function of mixed autoregressive moving average processes are presented. The results provide insight into construction autocovariances autocorrelatians useful in analysis, model identification as well implementing maximum likelihood estimation algorithms.
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