On the closed form of the covariance matrix and its inverse of the causal ARMA process
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DOI: 10.1111/j.1467-9892.2004.01454.x
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References listed on IDEAS
- van der Leeuw, Jan, 1994. "The covariance matrix of ARMA errors in closed form," Journal of Econometrics, Elsevier, vol. 63(2), pages 397-405, August.
- Anderson, T. W. & Mentz, Raúl P., 1977. "The generalized variance of a stationary autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 7(4), pages 584-588, December.
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Cited by:
- Serge B. Provost & John N. Haddad, 2019. "A recursive approach for determining matrix inverses as applied to causal time series processes," METRON, Springer;Sapienza Università di Roma, vol. 77(1), pages 53-62, April.
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