Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes

DOI10.1016/J.SPL.2015.12.023zbMath1419.62250arXiv1511.07091OpenAlexW2963496945MaRDI QIDQ273734

Akimichi Takemura

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.07091

zbMATH Keywords

autocorrelation functionDurbin-Levinson algorithm

Mathematics Subject Classification ID

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

Related Items (1)

Estimating wold matrices and vector moving average processes

Cites Work

• An explicit representation of Verblunsky coefficients
• Canonical correlations of past and future for time series: Definitions and theory
• Time series: theory and methods.
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• AR and MA representation of partial autocorrelation functions, with applications
• Explicit representation of finite predictor coefficients and its applications
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