A closed analytic from for the precision matrix of the second order moving average processes | ||
| The Egyptian Statistical Journal | ||
| Article 1, Volume 62, Issue 1, June 2018, Pages 1-14 PDF (2.81 M) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/esju.2018.244219 | ||
| Abstract | ||
| A difficult and challenging problem not only to bayesian but also to those interested in maximum likelihood estimation is to express the precision matrix of the second order moving average processes in closed analytic from in terms of the parameters directly. The main objective of this article is to develop a convenient technique to obtain such closed analytic from.the proposed technique is based on approximating the covariance structure of the first two observations only. Then a homogeneous difference equation of the transformation matrix and an exact solution for the difference equation is given in a closed and easily computed from. | ||
| Keywords | ||
| A closed analytic from for the precision matrix of the second order moving average processes | ||
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