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Inverse of the Covariance Matrix of ARMA(p,q) Time Series
Author

Ian McLeod
Organization: University of Western Ontario
Department: Department of Statistical and Actuarial Sciences
Revision date

2005-09-12
Description

An efficient algorithm for computing the exact symbolic inverse of the covariance matrix of n successive observations from an ARMA(p,q) time series is given. The algorithm was derived in in a paper by Zinde-Walsh (1988). Zinde-Walsh, V. (1988). Some exact formulae for autoregressive moving average processes. Econometric Theory, 4, 384-402.
Subject

*Mathematics > Probability and Statistics
Keywords

Time Series
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InverseCovarianceMatrixARMA-Documentation.nb (28 KB) - Mathematica Notebook
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InverseCovarianceMatrixARMA.m (13.7 KB) - Mathematica Package