Finding an ARMA(p,q) model given its spectral density or its correlogram
Statistics Theory
2014-06-24 v2 Statistics Theory
Abstract
An ARMA model can be fully determined based on either its spectral density, or its correlogram, i.e. a formula for computing the corresponding k th serial correlation for any integer k. In this article we describe how to find, given one of these three ways of specifying the model, the other two.
Cite
@article{arxiv.1406.4062,
title = {Finding an ARMA(p,q) model given its spectral density or its correlogram},
author = {Jan Vrbik},
journal= {arXiv preprint arXiv:1406.4062},
year = {2014}
}