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Biometrika 1973 60(1):193-196; doi:10.1093/biomet/60.1.193
© 1973 by Biometrika Trust
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On the inverse of the covariance matrix for an autoregressive-moving average process

PAUL SHAMAN

Carnegie-Mellon University

The problem of inverting the covariance matrix {Sigma}T of T sucoessive observations from an autoregressive-moving average process of order (p, q) is discussed. The inverse is obtained for a moving average process (p = 0). An explicit expression is given for the elements of {Sigma}–1T for a process of order (0, 2).

Key Words: Autoregressive-moving average process • Inverse of covariance matrix • Approximate inverse • Roots of associated polynomial equation


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