On the parametrization of autoregressive models by partial autocorrelations

DOI10.1016/0047-259X(73)90030-4zbMath0275.62074OpenAlexW2082622228WikidataQ105387269 ScholiaQ105387269MaRDI QIDQ2265777

G. Schou, Ole Eiler Barndorff-Nielsen

Publication date: 1973

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(73)90030-4

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Parametric inference (62F99) Stationary stochastic processes (60G10)

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