On the inverses of some patterned matrices arising in the theory of stationary time series

DOI10.2307/3212583MaRDI QIDQ4404265zbMATH OpenOpenAlexFDO

Authors Rex F. Galbraith, Jane I. Galbraith

Publication date 1974

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212583

Mathematics Subject Classification ID

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

Cited in

(38)

• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
• Optimal estimation of linear functions of finite population means in rotation sampling
• A Bayesian approach to retrospective identification of change-points
• Estimation of a non-invertible moving average process: the case of overdifferencing
• Bias correction in ARMA models
• The covariance matrix of ARMA errors in closed form
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Bias-corrected estimation of panel vector autoregressions
• Resampling time series using missing values techniques
• Some results on unilateral ARMA lattice processes
• Long memory processes and fractional integration in econometrics
• Limited distribution of sample partial autocorrelations: A matrix approach
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• First difference maximum likelihood and dynamic panel estimation
• A simplified approach to inverting the autocovariance matrix of a general \(\mathrm{ARMA}(p,q)\) process
• A robust Bayesian approach for unit root testing
• Determinants of covariance matrices of differenced AR(1) processes
• A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
• The restricted likelihood ratio test for autoregressive processes
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• Bayesian analysis of a linear mixed model with AR(p) errors via MCMC
• Simultaneous confidence bands for sequential autoregressive fitting
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process
• A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
• BIAS in linear regression models with unknown covariance matrix
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar
• Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
• APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
• Some corrections of the score test statistic for Gaussian ARMA models
• THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
• A generalized least-square matrix decomposition
• Bayesian analysis of autoregressive time series with change points
• Parameter estimation in first-order autoregressive model for statistical process monitoring in the presence of data autocorrelation
• Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations
• How many times should a cluster randomized crossover trial cross over?
• The auto-regression and the moving-average

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