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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| Official URL http://dx.doi.org/10.1016/j.jspi.2009.12.022 |
Abstract
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.
| Item Type: | Article |
|---|---|
| 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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