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On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process

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Summary

Extending an approach given by Tiao & Ali (1971) the exact inverse of the autocovariance matrix of a general mixed autoregressive moving average process is obtained. Next the existence and form of this matrix is established for a general non-stationary process. An explicit expression for the inverse autocovariance matrix is given for the second order mixed autoregressive moving average process.

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de Gooijer, J.G. On the inverse of the autocovariance matrix for a general mixed autoregressive moving average process. Statistische Hefte 19, 114–123 (1978). https://doi.org/10.1007/BF02932716

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