A Fast Algorithm for the Repeated Evaluation of the Likelihood of a General Linear Process for Long Series
长序列一般线性过程似然重复计算的快速算法
The likelihood function of a stationary and invertible autoregressive moving average (ARMA) process for a given series is a function of the determinant of the covariance matrix of the series and a quadratic form involving the inverse of this matrix. In this article the quadratic form is transformed into a new quadratic form, whose matrix is evaluated readily and has constant elements along its diagonals; that is, it is a Symmetrie Toeplitz matrix. It allows the computation…