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A NOTE ON THE INVERSE COVARIANCE MATRIX OF THE AUTOREGRESSIVE PROCESS1 |
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| Authors: | A. P. Verbyla |
| Abstract: | The inverse covariance matrix of an autoregressive process of arbitrary order is found explicitly using the notion of the information matrix for the vector random variable, not the parameters. Any process for which a simple conditional representation exists, can be treated in the same way. The approach has merit in the teaching of statistics. |
| Keywords: | autoregressive process covariance matrix information matrix |