The inversion of correlation matrix for MA(1) process
نویسندگان
چکیده
منابع مشابه
The inversion of correlation matrix for MA(1) process
K e y w o r d s I n v e r s i o n of the correlation matrix of AR(1) process, Partitioning, Inversion of a submatrix. 1. I N T R O D U C T I O N Cons ide r a t ime-ser ies rea l i za t ion {Yt: t = 1 , . . . , n} of l eng th n f rom a s t a t i o n a r y Gauss i an process. Suppose t h a t Ptt' refers to t he cor re la t ion be tween Yt and Yt' for t, t ' = 1 , . . . , n. Obviously , Ptt = 1. I...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2003
ISSN: 0893-9659
DOI: 10.1016/s0893-9659(03)80051-4