On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process

Jan G. Gooijer

No 293045, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: Extending an approach given by Tiao & Ali (1971) the exact inverse of the autocovariance matrix of a general mixed autoregressive moving average process is obtained. Next the existence and form of this matrix is established for a general non-stationary process. An explicit expression for the inverse autocovariance matrix is given for the second order mixed autoregressive moving average process.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 11
Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293045

DOI: 10.22004/ag.econ.293045

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