THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
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Publication:4864578
DOI10.1111/j.1467-9892.1995.tb00254.xzbMath0837.62067MaRDI QIDQ4864578
Publication date: 20 February 1996
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00254.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
15A09: Theory of matrix inversion and generalized inverses
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A recursive approach for determining matrix inverses as applied to causal time series processes, A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process
Cites Work
- On the inverse of the autocovariance matrix for a general moving average process
- On the inverses of some patterned matrices arising in the theory of stationary time series
- On the closed form of the likelihood function of the first order moving average model
- On the inverse of the covariance matrix for an autoregressive-moving average process