A simplified approach to inverting the autocovariance matrix of a general ARMA(p,qp,q) process

This article demonstrates how to compute the exact inverse of the autocovariance matrix and its determinant more efficiently than the previous work for a general ARMA(p,qp,q) process of length n  , when n⩾max{p,q}n⩾max{p,q} is considered. We formulate the results as analytic matrix expressions, which can be easily implemented in general practice.