A simplified approach to inverting the autocovariance matrix of a general ARMA(p,q) process

Tsung I. Lin and Hsiu J. Ho

Statistics & Probability Letters, 2008, vol. 78, issue 1, 36-41

Abstract: This article demonstrates how to compute the exact inverse of the autocovariance matrix and its determinant more efficiently than the previous work for a general ARMA(p,q) process of length n, when n[greater-or-equal, slanted]max{p,q} is considered. We formulate the results as analytic matrix expressions, which can be easily implemented in general practice.

Keywords: Autoregressive; Gaussian; process; Inverse; matrix; Moving; average; Time; dependence; Autocorrelation; function (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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