On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process

Extending an approach given by Tiao & Ali (1971) the exact inverse of the autocovariance matrix of a general mixed autoregressive moving average process is obtained. Next the existence and form of this matrix is established for a general non-stationary process. An explicit expression for the inverse autocovariance matrix is given for the second order mixed autoregressive moving average process.