On the inversion of autocovariance matrices for general autoregressive moving average (p,q) processes

zbMath0439.62065MaRDI QIDQ1142519

Oliver D. Anderson

Publication date: 1977

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

inversion of autocovariance matricesmixed autoregressive moving average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A simplified approach to inverting the autocovariance matrix of a general \(\mathrm{ARMA}(p,q)\) process

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