ON THE INVERSE OF THE COVARIANCE MATRIX OF A FIRST-ORDER MOVING AVERAGE.

Let x sub t be a first-order moving-average process that is, x sub t epsilon sub t beta epsilon sub t-1, where the sequence epsilon sub t, t 0, plus or minus 1,... consists of uncorrelated random variables with mean 0 and variance v, and the absolute value of beta is 1. Another parameterization which is useful involves sigma squared v1 beta squared and sigma squared rho vbeta. This paper discusses the problem of inverting the covariance matrix Sigma sub T of x x sub 1,..., x sub T. Author