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

References

• Anderson , T. W. and Mentz , P. R. 1977 . The generalized variance of a stationary autoregressive process . Journal of Multivariate Analysis , 7 : 584 – 588 .
   Web of Science ®Google Scholar
• Box , G. E. P. and Jenkins , G. M. 1976 . Time Series Analysis: Forecasting and Control , Revised Edition , San Francisco : Holden-Day .
   Google Scholar
• Brockwell , P. J. and Davis , R. A. 1987 . Time Series: Theory and Methods , New York : Springer-Verlag .
   Google Scholar
• Galbrith , R. F. and Galbrith , J. I. 1974 . On the inverse of some patterned matrices arising from the theory of stationary time series . Journal of Applied Probability , 11 : 63 – 74 .
   Web of Science ®Google Scholar
• Haddad , J. N. 1995 . The recursive property of the inverse of the covariance matrix of the moving average model of general order . Journal of Time Series Analysis , 16 : 551 – 554 .
   Google Scholar
• Siddiqui , M. M. 1958 . On the inversion of the sample covariance matrix in a stationary autoregressive process . Annals of Mathematical Statistics , 29 : 585 – 588 .
   Google Scholar
• Shaman , P. 1973 . On the inverse of the covariance matrix of an autoregressive moving average process . Biometrika , 60 : 193 – 196 .
   Web of Science ®Google Scholar