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

DOI10.1007/BF02932716MaRDI QIDQ4167448zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer

Publication date 1978

Published in Statistische Hefte (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02932716

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3456384 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Analysis of correlated random effects: linear model with two random components
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• On the inverse of the autocovariance matrix for a general moving average process
• On the inverse of the covariance matrix for an autoregressive-moving average process
• On the inverse of the covariance matrix of a first order moving average
• On the inverses of some patterned matrices arising in the theory of stationary time series
• The exact likelihood function for a mixed autoregressive-moving average process

Cited in

(1)

• The covariance matrix of ARMA errors in closed form

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