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Inverse of the Covariance Matrix of ARMA(p,q) Time Series
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| Organization: | University of Western Ontario |
| Department: | Department of Statistical and Actuarial Sciences |
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2005-09-12
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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.
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Time Series
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| InverseCovarianceMatrixARMA-Documentation.nb (28 KB) - Mathematica Notebook | | InverseCovarianceMatrixARMA.m (13.7 KB) - Mathematica Package |
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