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

John N. Haddad

Journal of Time Series Analysis, 1995, vol. 16, issue 6, 551-554

Abstract: Abstract. The inverse of the covariance matrix of a moving‐average process of general order is considered. A recursive relationship between the inverses for any two consecutive orders has been established. Illustrative situations are derived and exact expressions are discussed.

Date: 1995
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