Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/37080
標題: A simplified approach to inverting the autocovariance matrix of a general ARMA(p, q) process
作者: Lin, T.I.
林宗儀
Ho, H.I.J.
關鍵字: autoregressive
Gaussian process
inverse matrix
moving average
time
dependence
autocorrelation function
covariance-matrix
closed-form
time-series
errors
models
期刊/報告no:: Statistics & Probability Letters, Volume 78, Issue 1, Page(s) 36-41.
摘要: This article demonstrates how to compute the exact inverse of the autocovariance matrix and its determinant more efficiently than the previous work for a general ARMA(p,q) process of length n, when n >= max{p,q} is considered. We formulate the results as analytic matrix expressions, which can be easily implemented in general practice. (C) 2007 Elsevier B.V. All rights reserved.Autoregressive; Gaussian process; Inverse matrix; Moving average; Time dependence; Autocorrelation function
URI: http://hdl.handle.net/11455/37080
ISSN: 0167-7152
文章連結: http://dx.doi.org/10.1016/j.spl.2007.05.002
Appears in Collections:統計學研究所

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