What is the inverse of autocorrelation?
The inverse autocorrelations of a time series are defined to be the autocorrelations associated with the inverse of the spectral density of the series. They can be estimated by calculating the autocorrelations associated with the inverse of a spectral density estimate.
What is autocorrelation matrix?
The autocorrelation matrix is a Hermitian matrix for complex random vectors and a symmetric matrix for real random vectors. The autocorrelation matrix is a positive semidefinite matrix, i.e. for a real random vector, and respectively. in case of a complex random vector.