关于ARMA序列协方差矩阵的逆

ON THE INVERSE OF THE COVARIANCE MATRIX OF ARMA SERIES

本文用矩阵方法导出ARMA(p·q)序列协方差阵的逆的一种表达式,由它可以较快计算平方和函数及其偏导数,还可以求得初值为零的条件平方和函数的误差。

In this paper. we derive an expression for the inverse of the covariance matrix of ARMA seriesby the matrix method. Using this expression, the function of sum of squares and its partialderivatives can be calculated quickly, and the error of the function of sum of squares under thecondition of the zero initial value can be obtained.