THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER | Zendy

Haddad John N. | Zendy

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THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER

Author(s) -

Haddad John N.

Publication year - 1995

Publication title -

journal of time series analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.576

H-Index - 54

eISSN - 1467-9892

pISSN - 0143-9782

DOI - 10.1111/j.1467-9892.1995.tb00254.x

Subject(s) - mathematics , inverse , property (philosophy) , covariance , covariance matrix , estimation of covariance matrices , order (exchange) , matrix (chemical analysis) , process (computing) , covariance function , statistics , computer science , philosophy , materials science , geometry , epistemology , finance , economics , composite material , operating system

. The inverse of the covariance matrix of a moving‐average process of general order is considered. A recursive relationship between the inverses for any two consecutive orders has been established. Illustrative situations are derived and exact expressions are discussed.

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