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On the inverses of some patterned matrices arising in the theory of stationary time series

Published online by Cambridge University Press:  14 July 2016

R. F. Galbraith  and
J. I. Galbraith
R. F. Galbraith
Affiliation:
University College London
J. I. Galbraith
Affiliation:
University College London
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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

AUTOREGRESSIVEMOVING AVERAGELAURENT MATRIXINVERSEDETERMINANT

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 11 , Issue 1 , March 1974 , pp. 63 - 71
Copyright
Copyright © Applied Probability Trust 1974 

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References

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