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

DOI10.1016/J.SPL.2007.05.002MaRDI QIDQ2475419zbMATH OpenOpenAlexFDO

Authors 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

autocorrelation functionautoregressive Gaussian processinverse matrixmoving averagetime dependence

Mathematics Subject Classification ID

Basic linear algebra (15A99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bayesian analysis of Box--Cox transformed linear mixed models with ARMA(p,q) dependence
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• On modelling data from degradation sample paths over time
• On the closed form of the covariance matrix and its inverse of the causal ARMA process
• On the inverses of some patterned matrices arising in the theory of stationary time series
• On the inversion of autocovariance matrices for general autoregressive moving average (p,q) processes
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• Regression Models with Time Series Errors
• THE AUTOCORRELATION FUNCTION AND THE SPECTRAL DENSITY FUNCTION
• The covariance matrix of ARMA errors in closed form

Cited in

(16)

• The covariance matrix of ARMA errors in closed form
• Inverse of the covariance matrix of an MA(2) process
• Blind deconvolution of covariance matrix inverses for autoregressive processes
• The inverse of covariance matrices for the ARMA\((p,q)\) class of processes
• scientific article; zbMATH DE number 3938368 (Why is no real title available?)
• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
• scientific article; zbMATH DE number 4024574 (Why is no real title available?)
• A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
• scientific article; zbMATH DE number 536586 (Why is no real title available?)
• scientific article; zbMATH DE number 1960918 (Why is no real title available?)
• APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
• On the closed form of the covariance matrix and its inverse of the causal ARMA process
• scientific article; zbMATH DE number 2170892 (Why is no real title available?)
• On the fundamental matrix of the inverse of a polynomial matrix and applications to ARMA representations
• Covariances between estimated autocorrelations of an ARMA process
• ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors

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