THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (P, Q) CLASS OF PROCESSES

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CHINIPARDAZ R.; COX T.F.

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Journal Paper

Paper Information

Journal: Iranian Journal of Science Year:2004 | Volume:28 | Issue:A2 Page(s): 299-306

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Title

THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (P, Q) CLASS OF PROCESSES

Author(s)

CHINIPARDAZ R. | COX T.F. | Issue Writer Certificate

Keywords

ARMA PROCESSES

BAND MATRIX

COVARIANCE MATRIX

Abstract

Analysis of time series data can involve the inversion of large covariance matrices. For the class of ARMA (p, q) processes there are no exact explicit expressions for these inverses, except for The MA (1) process. In practice, the sample COVARIANCE MATRIX can be very large and inversion can be computationally time consuming and so approximate explicit expressions for the inverse are desirable. This paper offers some of these approximations.

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APA: Copy

CHINIPARDAZ, R., & COX, T.F.. (2004). THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (P, Q) CLASS OF PROCESSES. IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE, 28(A2), 299-306. SID. https://sid.ir/paper/538451/en

Vancouver: Copy

CHINIPARDAZ R., COX T.F.. THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (P, Q) CLASS OF PROCESSES. IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE[Internet]. 2004;28(A2):299-306. Available from: https://sid.ir/paper/538451/en

IEEE: Copy

R. CHINIPARDAZ, and T.F. COX, “THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (P, Q) CLASS OF PROCESSES,” IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A- SCIENCE, vol. 28, no. A2, pp. 299–306, 2004, [Online]. Available: https://sid.ir/paper/538451/en

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