Inverse of the covariance matrix of an MA(2) process

DOI10.1016/j.cam.2021.113627zbMath1473.65026OpenAlexW3163264943MaRDI QIDQ2043160

Timothy Opheim, Anuradha Roy

Publication date: 29 July 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113627

zbMATH Keywords

symmetric Toeplitz matrixinverse of covariance matrix

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (1)

Some inequalities for covariance with applications in statistics

Cites Work

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• On some properties of positive definite Toeplitz matrices and their possible applications
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• Fast solution of toeplitz systems of equations and computation of Padé approximants
• On Inversion of Symmetric Toeplitz Matrices
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• On the inverse of the covariance matrix of a first order moving average
• On the inverse of the covariance matrix for an autoregressive-moving average process

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