NOTE ON AUTOCORRELATION MATRIX

Luiz de SOUZA[1]

§    ABSTRACT: In this paper, the autocorrelation matrix L generated by a first order autoregressive process, in which the observation times are not equally spaced, is considered. The following matrices and determinants are obtained, algebrically V-1, L such L ' L = V-1 and L -1.

§    KEYWORDS: Autoregressive process; autocorrelation.

 



[1] Departamento de Genética e Matemática Aplicada à Biologia da Faculdade de Medicina de Ribeirão Preto - USP - 14049-000 - Ribeirão Preto - SP - Brasil.