Dimitriou-Fakalou, C. (2010) The Auto-Regression and the Moving-Average. Journal of Statistical Planning and Inference, 140 (7). pp. 1739-1743. ISSN 0378-3758.
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We explore some relationships in the second-order properties of a causal auto-regression and an invertible moving-average process with the same polynomial. We reveal that the inverse variance matrix for random variables from the auto-regression is equal to a conditional variance matrix of Gaussian random variables from the moving-average and vice versa. While the inverse variance matrix for the auto-regression can be written explicitly, we manage to write down the exact Gaussian likelihood of consecutive observations from the moving-average process, by using the properties of the auto-regression.
|Uncontrolled keywords:||Gaussian likelihood; Innovations algorithm; Inverse variance matrix|
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics|
|Depositing User:||Chrysoula Dimitriou Fakalou|
|Date Deposited:||10 Oct 2012 12:33|
|Last Modified:||26 Feb 2013 09:35|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/31484 (The current URI for this page, for reference purposes)|
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