scientific article; zbMATH DE number 4024574

MaRDI QIDQ3766675zbMATH OpenFDO

Authors Sanpei Kageyama

Publication date 1987

zbMATH Keywords

autoregressive-moving average processdeterminantexplicit expressionsinverse of the covariance matrixmoving average process of order qrecursive expression

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Determinants, permanents, traces, other special matrix functions (15A15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(7)

• The inversion of correlation matrix for MA(1) process
• Inverse of the covariance matrix of an MA(2) process
• A recursive approach for determining matrix inverses as applied to causal time series processes
• On a relationship between the inverse of a stationary covariance matrix and the linear interpolator
• scientific article; zbMATH DE number 3456384 (Why is no real title available?)
• THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
• The exact initial covariance matrix of the state vector of a general MA(q) process

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