The inversion of correlation matrix for MA(1) process

DOI10.1016/S0893-9659(03)80051-4zbMath1047.62081OpenAlexW2060863427MaRDI QIDQ1431934

Pranesh Kumar, Brajendra Chandra Sutradhar

Publication date: 11 June 2004

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0893-9659(03)80051-4

zbMATH Keywords

PartitioningInversion of correlation matrices of AR(1) processesInversion of submatrices

Mathematics Subject Classification ID

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

Related Items (3)

Convolutional autoregressive models for functional time series ⋮ Moving average and autoregressive correlation structures under multivariate skew normality ⋮ Inverse of the covariance matrix of an MA(2) process

Cites Work

• Longitudinal data analysis using generalized linear models
• On the inverse of the covariance matrix of a first order moving average
• ON STATIONARY PROCESSES IN THE PLANE
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