頁籤選單縮合
題 名 | On the Inverse of the Autocorrelation Matrix for an AR(p) Process |
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作 者 | Lee,Jack C.; Wang,Ren-sheng; Lin,Tsung-i; | 書刊名 | 中國統計學報 |
卷 期 | 42:1 2004.03[民93.03] |
頁 次 | 頁81-89 |
分類號 | 319 |
關鍵詞 | Autoregressive; Growth curves model; MANOVA; Multivariate linear model; |
語 文 | 英文(English) |
英文摘要 | Let CN = (ρ|t-s|),t,s = 1,...,N, be the autocorrelation matrix of a vector XN=(x1, ...,xN)1 from a stationary autoregressive process of order p, where N□p. In this paper, we derive a general formula without any distributional assumption, which is easy to program for directly solving the inverse of CN, denoted by C□. The formulation of C□ is useful in time series analysis, general linear model, multivariate linear model, MANOVA and growth curves model with high order autoregressive errors, and can simplify the computational procedure of procedure of parameter estimation. Some demonstrations of C□ inc1uding AR(2), AR(3), and AR(4) are given. |
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