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Biometrika 1986 73(2):522-524; doi:10.1093/biomet/73.2.522
© 1986 by Biometrika Trust
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Miscellanea

Fast filtering for seasonal moving average models

ROBERT KOHN and CRAIG F. ANSLEY

Graduate School of Business, University of Chicago Chicago, Illinois 60637, U.S.A.

Pearlman (1980) gives a fast filtering algorithm for an ARMA, i.e. autoregressive-moving average, model. When the algorithm is applied to a seasonal moving average model significant computational savings can be obtained by taking advantage of the structural zeros noted by Kohn & Ansley (1984) and Melard (1984). In this paper we identify a second set of structural zeros which leads to further significant computational savings. Our results can be applied to produce a fast algorithm for obtaining the likelihood of a stationary ARMA model with a seasonal moving average.

Key Words: ARMA model • Filtering • Likelihood • Partial autocorrelation • Seasonal moving average


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