A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process (Q4232054): Difference between revisions
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| Property / cites work: The generalized variance of a stationary autoregressive process / rank | |||
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| Property / cites work: Q4137964 / rank | |||
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| Property / cites work: Time series: theory and methods / rank | |||
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| Property / cites work: On the inverses of some patterned matrices arising in the theory of stationary time series / rank | |||
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| Property / cites work: THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER / rank | |||
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| Property / cites work: On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process / rank | |||
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| Property / cites work: On the inverse of the covariance matrix for an autoregressive-moving average process / rank | |||
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Latest revision as of 18:54, 28 May 2024
scientific article; zbMATH DE number 1262018
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process |
scientific article; zbMATH DE number 1262018 |
Statements
A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process (English)
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15 June 1999
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autoregressive processes
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covariance matrices
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roots of characteristic equations
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