In this paper, the problem of diagonalization of the autocovariance matrices of STATIONARY processes is discussed. Basically, there is no explicit form for the diagonal matrices. An analytic solution has been provided for STATIONARY ARMA models based on Band matrices. The results have been compared with Dargahi-Noubary and Fuller in a numerical study. It has been demonstrated that the results are more accurate compared to Dargahi-Noubary and Fuller approaches.