APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL

DOI10.17654/AM097050171MaRDI QIDQ4639845zbMATH OpenOpenAlexFDO

Authors K. Djeddour-Djaballah, F. Ouicher, A. Bachir

Publication date 11 May 2018

Published in Far East Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/am097050171

zbMATH Keywords

autoregressive processCholesky decompositionLevinson-Durbin algorithmsimulationToeplitz matrix

Mathematics Subject Classification ID

Applications of graph theory (05C90) Applications of commutative algebra (e.g., to statistics, control theory, optimization, etc.) (13P25) Toeplitz, Cauchy, and related matrices (15B05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
• An estimator of the inverse covariance matrix and its application to ML parameter estimation in dynamical systems
• A simplified approach to inverting the autocovariance matrix of a general \(\mathrm{ARMA}(p,q)\) process

Cites work

• A note on inversion of Toeplitz matrices
• Algebraic methods for Toeplitz-like matrices and operators
• Determinants of covariance matrices of differenced AR(1) processes
• scientific article; zbMATH DE number 3954108 (Why is no real title available?)
• scientific article; zbMATH DE number 954235 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Improved Box-Jenkins Estimators
• Modeling covariance matrices via partial autocorrelations
• On the inverses of some patterned matrices arising in the theory of stationary time series
• Test for uniformity by empirical Fourier expansion
• The exact likelihood function for a mixed autoregressive-moving average process
• The inverse of covariance matrices for the ARMA\((p,q)\) class of processes

Cited in

(1)

• On the structure and invertibility of the autocorrelation matrix in the unconstrained FDLMS problem

Describes a project that uses

Uses Software

• itsmr

This page was built for publication: APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4639845)