Elements of Multivariate Time Series Analysis (Springer Series in Statistics) (2nd ed., 2nd pr. 2003. XVII, 357 p. w. 14 figs. 24,5 cm)

a new Appendix A2, which provides explicit details concerning the rela­ tionships between the autoregressive (AR) and moving average (MA) parameter coefficient matrices and the corresponding covariance matrices of a vector ARMA process, with descriptions of methods to compute the covariance matrices in terms of the AR and MA parameter matrices;