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CHINIPARDAZ, R., COX, T. F.. (1383). THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (p, q) CLASS OF PROCESSES. , 28(2), 299-305. doi: 10.22099/ijsts.2004.2879
R. CHINIPARDAZ; T. F. COX. "THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (p, q) CLASS OF PROCESSES". , 28, 2, 1383, 299-305. doi: 10.22099/ijsts.2004.2879
CHINIPARDAZ, R., COX, T. F.. (1383). 'THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (p, q) CLASS OF PROCESSES', , 28(2), pp. 299-305. doi: 10.22099/ijsts.2004.2879
CHINIPARDAZ, R., COX, T. F.. THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (p, q) CLASS OF PROCESSES. , 1383; 28(2): 299-305. doi: 10.22099/ijsts.2004.2879

THE INVERSE OF COVARIANCE MATRICES FOR THE ARMA (p, q) CLASS OF PROCESSES

Iranian Journal of Science
مقاله 11، دوره 28، شماره 2، اسفند 2004، صفحه 299-305    اصل مقاله (215.5 K)
نوع مقاله: Regular Paper
شناسه دیجیتال (DOI): 10.22099/ijsts.2004.2879
نویسندگان
R. CHINIPARDAZ* 1؛ T. F. COX2
1Department of Statistics, University of Shahid Chamran, Ahvaz, I. R. of Iran
2Unilever Research Port Sunlight, Quarry Road East, Bebington, Wirral, CH633JW, UK
چکیده
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.
کلیدواژه‌ها
ARMA processes؛ band matrix؛ covariance matrix
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