A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
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Publication:4232054
DOI10.1080/03610919808813499zbMath0915.62072OpenAlexW2043691917MaRDI QIDQ4232054
Publication date: 15 June 1999
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610919808813499
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09) Probabilistic methods, stochastic differential equations (65C99)
Cites Work
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- THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
- On the inverse of the covariance matrix for an autoregressive-moving average process