On the inverse of the covariance matrix for an autoregressive-moving average process

DOI10.1093/biomet/60.1.193zbMath0254.62060OpenAlexW2094019344MaRDI QIDQ5667915

Paul Shaman

Publication date: 1973

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/60.1.193

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Residual variance estimation in moving average models ⋮ Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar ⋮ DIFFERENTIAL GEOMETRY OF ARMA MODELS ⋮ Moving average and autoregressive correlation structures under multivariate skew normality ⋮ THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER ⋮ On the inverse of certain patterned sums of matrices with Kronecker product structures ⋮ BIAS in linear regression models with unknown covariance matrix ⋮ On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process ⋮ Inverse of the covariance matrix of an MA(2) process ⋮ A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process ⋮ Bias correction in ARMA models

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