
Accession Number : AD0674765
Title : ON THE INVERSE OF THE COVARIANCE MATRIX OF A FIRSTORDER MOVING AVERAGE.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CALIF DEPT OF STATISTICS
Personal Author(s) : Shaman,Paul
Report Date : 05 AUG 1968
Pagination or Media Count : 27
Abstract : Let (x sub t) be a firstorder movingaverage process; that is, x sub t = epsilon sub t + beta (epsilon sub t1), 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)
Descriptors : (*TIME SERIES ANALYSIS, MATRICES(MATHEMATICS)), INFORMATION THEORY, CORRELATION TECHNIQUES, ANALYSIS OF VARIANCE, DETERMINANTS(MATHEMATICS), DIFFERENCE EQUATIONS, APPROXIMATION(MATHEMATICS)
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE