On a relationship between the inverse of a stationary covariance matrix and the linear interpolator

DOI10.2307/3214603zbMath0702.60038OpenAlexW4242748696MaRDI QIDQ3481011

R. J. Bhansali

Publication date: 1990

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214603

zbMATH Keywords

autoregressive representationinverse correlation functionblock Toeplitz covariance matrices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (4)

Optimization methods in time series interpolation ⋮ Prediction with incomplete past and interpolation of missing values ⋮ Estimating the inverse autocorrelation function from outlier contaminated data ⋮ Duals of random vectors and processes with applications to prediction problems with missing values

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