An estimator of the inverse covariance m
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B. David; G. Bastin
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Article
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2001
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Elsevier Science
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English
β 202 KB
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.