An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.
✦ LIBER ✦
Estimation of the mean and the covariance matrix under a marginal independence assumption — an application of matrix differential calculus
✍ Scribed by Erhard Cramer
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 717 KB
- Volume
- 288
- Category
- Article
- ISSN
- 0024-3795
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