THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER

DOI10.1111/j.1467-9892.1995.tb00254.xzbMath0837.62067OpenAlexW2090970362MaRDI QIDQ4864578

John N. Haddad

Publication date: 20 February 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00254.x

zbMATH Keywords

inverse of the covariance matrixmoving-average process of general order

Mathematics Subject Classification ID

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

Related Items (2)

A recursive approach for determining matrix inverses as applied to causal time series processes ⋮ A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process

Cites Work

• On the inverse of the autocovariance matrix for a general moving average process
• On the inverses of some patterned matrices arising in the theory of stationary time series
• On the closed form of the likelihood function of the first order moving average model
• On the inverse of the covariance matrix for an autoregressive-moving average process

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