The generalized variance of a stationary autoregressive process

DOI10.1016/0047-259X(77)90069-0MaRDI QIDQ1245522zbMATH OpenOpenAlexFDO

Authors T. W. Anderson, Raúl P. Mentz

Publication date 1977

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(77)90069-0

Mathematics Subject Classification ID

Gaussian processes (60G15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites work

• Approximations for stationary covariance matrices and their inverses with application to ARMA models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
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• On the covariance determinants of moving-average and autoregressive models
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process

Cited in

(2)

• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process

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