Explicit representation of finite predictor coefficients and its applications
Statistics Theory
2007-06-13 v4 Probability
Statistics Theory
Abstract
We consider the finite-past predictor coefficients of stationary time series, and establish an explicit representation for them, in terms of the MA and AR coefficients. The proof is based on the alternate applications of projection operators associated with the infinite past and the infinite future. Applying the result to long memory processes, we give the rate of convergence of the finite predictor coefficients and prove an inequality of Baxter-type.
Cite
@article{arxiv.math/0405051,
title = {Explicit representation of finite predictor coefficients and its applications},
author = {Akihiko Inoue and Yukio Kasahara},
journal= {arXiv preprint arXiv:math/0405051},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009053606000000209 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)