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A simplified approach to inverting the autocovariance matrix of a general ARMA(p,q) process

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  • Lin, Tsung I.
  • Ho, Hsiu J.

Abstract

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[greater-or-equal, slanted]max{p,q} is considered. We formulate the results as analytic matrix expressions, which can be easily implemented in general practice.

Suggested Citation

  • Lin, Tsung I. & Ho, Hsiu J., 2008. "A simplified approach to inverting the autocovariance matrix of a general ARMA(p,q) process," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 36-41, January.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:1:p:36-41
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    References listed on IDEAS

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    1. van der Leeuw, Jan, 1994. "The covariance matrix of ARMA errors in closed form," Journal of Econometrics, Elsevier, vol. 63(2), pages 397-405, August.
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    Cited by:

    1. Wang, Wan-Lun & Fan, Tsai-Hung, 2010. "ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors," Computational Statistics & Data Analysis, Elsevier, vol. 54(5), pages 1328-1341, May.

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