On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/BF02932716.pdf
Reference13 articles.
1. Anderson, O. D. (1976a). On the inverse of the autocovariance matrix for a general moving average process. Biometrika63: 391–4.
2. Anderson, O. O. (1976b). An improved approach to inverting the autocovariance matrix of a general mixed autoregressive moving average time process. Austral. J. Statist.18, 73–5.
3. Box, G. E. P. & Jenkins, G. M. (1970): Time Series Analysis Forecasting and Control. San Francisco: Holden-Day.
4. Galbraith, R. F. & Galbraith, J. I. (1974) On the inverse of some patterned matrices arising in the theory of stationary time series. J. Appl. Prob.11, 63–71.
5. Newbold, P. (1974) The exact likelihood function for a mixed autoregressive moving average process. Biometrika61, 423–6.
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2. Maximum-Likelihood Methods of ARMA Estimation;Handbook of Time Series Analysis, Signal Processing, and Dynamics;1999
3. The covariance matrix of ARMA errors in closed form;Journal of Econometrics;1994-08
4. Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients;SIAM Journal on Matrix Analysis and Applications;1992-10
5. Spectrum Parameter Estimation in Time Series Analysis† †Part of this work was supported by the Netherlands Organization for the Advancement of Pure Research (Z.W.O.) under Grant B62-165.;Developments in Statistics;1983
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