AR and MA representation of partial autocorrelation functions, with applications

Simple item page
dc.creatorInoue, Akihiko
dc.date2007-02-22
dc.date2007-04-30
dc.date.accessioned2026-07-07T07:58:37Z
dc.date.available2026-07-07T07:58:37Z
dc.descriptionWe prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coefficients, of a stationary process in terms of the AR and MA coefficients. We apply it to show the asymptotic behaviour of the PACF. We also propose a new definition of short and long memory in terms of the PACF.
dc.descriptionPublished in Probability Theory and Related Fields
dc.identifierhttps://arxiv.org/abs/math/0702648
dc.identifierhttp://arxiv.org/abs/math/0702648
dc.identifierdoi:10.1007/s00440-007-0074-1
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/128070
dc.subjectSpectral Theory
dc.subjectProbability
dc.subject42C05; 62M10; 60G10
dc.titleAR and MA representation of partial autocorrelation functions, with applications
dc.typetext

Files

Collections

arXiv