On the inverse of the autocovariance matrix for a general moving average process

DOI10.1093/BIOMET/63.2.391zbMATH Open0329.62069OpenAlexW1981787262MaRDI QIDQ4095732FDOQ4095732

Authors: Oliver D. Anderson 

Publication date: 1976

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/63.2.391

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09)

Cited In (6)

• THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
• A proof of a relationship between the generalized variances for associated autoregressive and moving average processes
• A Schur complement approach to preconditioning sparse linear least-squares problems with some dense rows
• On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process
• Solving mixed sparse-dense linear least-squares problems by preconditioned iterative methods
• A further note on the stationarity and invertibility restraints on the parameters of mixed autoregressive moving average processes

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