Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
Statistics Theory
2016-02-09 v2 Statistics Theory
Abstract
We present a short proof of the fact that the exponential decay rate of partial autocorrelation coefficients of a short-memory process, in particular an ARMA process, is equal to the exponential decay rate of the coefficients of its infinite autoregressive representation.
Keywords
Cite
@article{arxiv.1511.07091,
title = {Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes},
author = {Akimichi Takemura},
journal= {arXiv preprint arXiv:1511.07091},
year = {2016}
}