A simplified approach to inverting the autocovariance matrix of a general \(\mathrm{ARMA}(p,q)\) process

DOI10.1016/j.spl.2007.05.002zbMath1130.62090MaRDI QIDQ2475419

Hsiu J. Ho, Tsung I. Lin

Publication date: 11 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.002

zbMATH Keywords

inverse matrix; autocorrelation function; autoregressive Gaussian process; moving average; time dependence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

15A99: Basic linear algebra

Related Items

ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors

Cites Work

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