A decomposition of some serially-structured variance matrices

DOI10.1093/BIOMET/73.2.447MaRDI QIDQ3747561zbMATH OpenOpenAlexFDO

Authors C. A. Glasbey

Publication date 1986

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/73.2.447

zbMATH Keywords

autoregressive-moving average modelCholesky decompositiondecompositiongeneralized ARMAlower triangular band matrixserially-structured variance matrixstationary process

Mathematics Subject Classification ID

Factorization of matrices (15A23) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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