A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process

DOI10.1080/03610919808813499zbMath0915.62072OpenAlexW2043691917MaRDI QIDQ4232054

John N. Haddad

Publication date: 15 June 1999

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919808813499

zbMATH Keywords

autoregressive processescovariance matricesroots of characteristic equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of matrix inversion and generalized inverses (15A09) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Time series: theory and methods
• The generalized variance of a stationary autoregressive process
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• On the inverses of some patterned matrices arising in the theory of stationary time series
• THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
• On the inverse of the covariance matrix for an autoregressive-moving average process