An Approximate Inverse for the Covariance Matrix of Moving Average and Autoregressive Processes
نویسندگان
چکیده
منابع مشابه
Chapter 3: Autoregressive and moving average processes
2 Moving average models Definition. The moving average model of order q, or MA(q), is defined to be Xt = t + θ1 t−1 + θ2 t−2 + · · ·+ θq t−q, where t i.i.d. ∼ N(0, σ). Remarks: 1. Without loss of generality, we assume the mean of the process to be zero. 2. Here θ1, . . . , θq (θq 6= 0) are the parameters of the model. 3. Sometimes it suffices to assume that t ∼WN(0, σ). Here we assume normality...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1975
ISSN: 0090-5364
DOI: 10.1214/aos/1176343085