ON THE INVERSE OF THE COVARIANCE MATRIX OF A FIRST-ORDER MOVING AVERAGE.

Abstract

Let (x sub t) be a first-order moving-average process; that is, x sub t = epsilon sub t + beta (epsilon sub t-1), where the sequence (epsilon sub t, t = 0, plus or minus 1,...) consists of uncorrelated random variables with mean 0 and variance v, and the absolute value of beta is < 1. Another parameterization which is useful involves sigma squared = v(1 + beta squared) and sigma squared rho = v(beta). This paper discusses the problem of inverting the covariance matrix Sigma sub T of x = (x sub 1,..., x sub T)'. (Author)

Document Details

Document Type
Technical Report
Publication Date
Aug 05, 1968
Accession Number
AD0674765

Entities

People

  • Paul Shaman

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Covariance
  • Data Science
  • Information Science
  • Interdisciplinary Science
  • Mathematical Analysis
  • Mathematics
  • Random Variables
  • Sequences

Readers

  • Analytical Mechanics
  • Statistical inference.