Dear all,
I have difficulties ( serious difficulties ) to write down the variance -
covariance matrix for an ARMA(1,1) process ( and in general for an ARMA(p,q)
process ). I know it only in the particular model of AR(1), but
unfortunately I don't understand how it has been worked out, and therefore
I'm not able to apply a more general case.
Can anybody help me giving some good references and/or some suggestions to
do that ?
Grateful for the eventual help
Stefano
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