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AN IMPROVED APPROACH TO INVERTING THE AUTOCOVARIANCE MATRIX OF A GENERAL MIXED AUTOREGRESSIVE MOVING AVERAGE TIME PROCESS 1
Author(s) -
Anderson O. D.
Publication year - 1976
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1976.tb00966.x
Subject(s) - autocovariance , inverse , autoregressive model , mathematics , matrix (chemical analysis) , process (computing) , mathematical analysis , computer science , statistics , geometry , fourier transform , operating system , materials science , composite material
Summary Anderson (1976b) showed how the exact inverse of a mixed process could be obtained by a single adjustment to an approximate inverse. A similar approach is demonstrated here, but this time approximate inverses are found in a much neater manner, using an idea implicit in Tiao and Ali (1971).