INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS

DOI10.1111/j.1467-9892.1983.tb00360.xzbMath0522.62077OpenAlexW1969578865MaRDI QIDQ3672942

Francesco Battaglia

Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00360.x

zbMATH Keywords

stationary processlinear filtersARMA processesinverse autocovarianceslinear deterministic constraintslinear two-sided interpolatorsmeasure of linear determinism

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Related Items (11)

Partial and inverse autocorrelations in portmanteau-type tests for time series ⋮ Dual and inverse ARMA processes and application to time reversibility ⋮ A Note on the Estimation of Missing Values in Time Series ⋮ Spectral Decomposition of the AR Metric ⋮ Generalised Partial Autocorrelations and the Mutual Information Between Past and Future ⋮ Efficient nonparametric estimation of generalised autocovariances ⋮ A periodogram-based metric for time series classification ⋮ A characterization of the inverse autocorrelation function ⋮ Probabilistic Properties of Parametric Dual and Inverse Time Series Models Generated by ARMA Models ⋮ Generalised cepstral models for the spectrum of vector time series ⋮ The generalised autocovariance function

Cites Work

• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Approximations for stationary covariance matrices and their inverses with application to ARMA models
• The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
• The Inverse Autocorrelations of a Time Series and Their Applications
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