arXiv Open Access 2007

AR and MA representation of partial autocorrelation functions, with applications

Akihiko Inoue

Lihat Sumber

Abstrak

We 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.

Topik & Kata Kunci

math.SP math.PR

Penulis (1)

Akihiko Inoue

Format Sitasi

APA MLA BibTeX

Inoue, A. (2007). AR and MA representation of partial autocorrelation functions, with applications. https://arxiv.org/abs/math/0702648

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2007
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓