AR and MA representation of partial autocorrelation functions, with applications
Spectral Theory
2007-05-23 v7 Probability
Abstract
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.
Cite
@article{arxiv.math/0702648,
title = {AR and MA representation of partial autocorrelation functions, with applications},
author = {Akihiko Inoue},
journal= {arXiv preprint arXiv:math/0702648},
year = {2007}
}
Comments
Published in Probability Theory and Related Fields