An explicit representation of Verblunsky coefficients

DOI10.1016/j.spl.2011.11.004zbMath1237.62111arXiv1109.4513OpenAlexW2042109618MaRDI QIDQ419253

Yukio Kasahara, Akihiko Inoue, Nicholas H. Bingham

Publication date: 18 May 2012

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

Full work available at URL: https://arxiv.org/abs/1109.4513

zbMATH Keywords

long memoryphase functionsFARIMA processespartial autocorrelation functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (10)

Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes ⋮ Representation theorems in finite prediction, with applications ⋮ Szegő's theorem and its probabilistic descendants ⋮ Multivariate prediction and matrix Szegő theory ⋮ Verblunsky coefficients and Nehari sequences ⋮ Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle ⋮ Modelling and Prediction of Financial Time Series ⋮ The intersection of past and future for multivariate stationary processes ⋮ Hardy, Littlewood and probability ⋮ Rigidity for matrix-valued Hardy functions

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