On the inverses of some patterned matrices arising in the theory of stationary time series
- 1 March 1974
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 11 (1) , 63-71
- https://doi.org/10.2307/3212583
Abstract
Expressions are obtained for the determinant and inverse of the covariance matrix of a set of n consecutive observations on a mixed autoregressive moving average process. Explicit formulae for the inverse of this matrix are given for the general autoregressive process of order p (n ≧ p), and for the first order mixed autoregressive moving average process.Keywords
This publication has 4 references indexed in Scilit:
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