Accession Number : AD0674765

Title :   ON THE INVERSE OF THE COVARIANCE MATRIX OF A FIRST-ORDER 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 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)

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