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The inversion of correlation matrix for MA(1) process. (English) Zbl 1047.62081

Summary: An exact expression for the inverse of the correlation matrix for the moving average order one MA(1) process is obtained. Its application in the context of longitudinal data analysis is discussed.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
15A09 Theory of matrix inversion and generalized inverses
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