The Inverse of Covariance Matrices for the Arma (p, Q) Class of Processes
نویسندگان
چکیده
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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