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

DOI10.1007/BF02932716zbMATH Open0386.62077OpenAlexW2109457953MaRDI QIDQ4167448FDOQ4167448

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

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• Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
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• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
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• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• 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
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Cited In (1)

• The covariance matrix of ARMA errors in closed form

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