A simple method for computing the covariance matrix and its inverse of a stationary autoregressive process

Abstract

Computation of the covariance matrix of an autoregressive process of order p, AR(p), is considered. A recursive property of the covariance matrix p is derived. The derived technique is found also to give the exact expression of the inverse of the covariance matrix and the generalized variance as well.

Keywords:

• Autoregressive processes
• covariance matrix
• roots of the characteristic equation