An approximate inverse for the covariance matrix of moving average and autoregressive processes

DOI10.1214/aos/1176343085zbMath0312.62066OpenAlexW1984254092MaRDI QIDQ1219660

Paul Shaman

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343085

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (11)

ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION ⋮ Approximation for the inverse of Toeplitz matrices with applications to stationary processes ⋮ On the inverse of certain patterned sums of matrices with Kronecker product structures ⋮ Genetic algorithms for the identification of additive and innovation outliers in time series ⋮ A characterization of the inverse autocorrelation function ⋮ On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Blind deconvolution of covariance matrix inverses for autoregressive processes ⋮ An Algorithm for solving Equation Set Based on Approximate Inverse ⋮ Optimal convergence rates in non-parametric regression with fractional time series errors ⋮ INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS

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