The partial autocorrelation function of an ARMA (1,1) process

zbMath0738.62086MaRDI QIDQ1186465

Lam Yeh

Publication date: 28 June 1992

Published in: Southeast Asian Bulletin of Mathematics (Search for Journal in Brave)

zbMATH Keywords

explicit expressionYule-Walker equationspartial autocorrelation functionARMA (1,1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Limited distribution of sample partial autocorrelations: A matrix approach

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