AR and MA representation of partial autocorrelation functions, with applications

被引：0

作者：

Akihiko Inoue

机构：

[1] Hokkaido University,Department of Mathematics, Faculty of Science

来源：

Probability Theory and Related Fields | 2008年 / 140卷

关键词：

Partial autocorrelation functions; Verblunsky coefficients; Orthogonal polynomials on the unit circle; Baxter’s condition; Fractional ARIMA processes; Long memory; Primary: 62M10; Secondary: 42C05; Secondary: 60G10;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coefficients, of a stationary process in terms of the AR and MA coefficients. We apply it to show the asymptotic behaviour of the PACF. We also propose a new definition of short and long memory in terms of the PACF.

引用

页码：523 / 551

页数：28

共 50 条

[1] AR and MA representation of partial autocorrelation functions, with applications
Inoue, Akihiko
[J]. PROBABILITY THEORY AND RELATED FIELDS, 2008, 140 (3-4) : 523 - 551
[2] CHARTS FOR AUTOCORRELATION AND PARTIAL-AUTOCORRELATION FUNCTIONS FOR THE AR(2) AND MA(2) PROCESSES
SUTRADHAR, BC
MACNEILL, IB
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1987, 16 (09) : 2717 - 2725
[3] The local partial autocorrelation function and some applications
Killick, Rebecca
Knight, Marina, I
Nason, Guy P.
Eckley, Idris A.
[J]. ELECTRONIC JOURNAL OF STATISTICS, 2020, 14 (02): : 3268 - 3314
[4] Capon's time-frequency representation with nonstationary ar autocorrelation
Amos, YA
Tabrikian, J
Shallom, FD
[J]. 2005 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS 1-5: SPEECH PROCESSING, 2005, : 509 - 512
[5] Calculation of autocorrelation functions using the Wigner representation of quantum mechanics
Garashchuk, S
Tannor, DJ
[J]. CHEMICAL PHYSICS LETTERS, 1996, 263 (1-2) : 324 - 330
[6] Autocorrelation and partial autocorrelation functions to improve neural networks models on univariate time series forecasting
Flores, Joao Henrique F.
Engel, Paulo Martins
Pinto, Rafael C.
[J]. 2012 INTERNATIONAL JOINT CONFERENCE ON NEURAL NETWORKS (IJCNN), 2012,
[7] Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes
Inoue, A
[J]. ANNALS OF APPLIED PROBABILITY, 2002, 12 (04): : 1471 - 1491
[8] Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing
Inoue, A
Kasahara, Y
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2004, 89 (01) : 135 - 147
[9] INTERPRETING PARTIAL AUTOCORRELATION FUNCTIONS OF SEASONAL TIME-SERIES MODELS
HAMILTON, DC
WATTS, DG
[J]. BIOMETRIKA, 1978, 65 (01) : 135 - 140
[10] Representation of propositional expert systems as partial functions
Colomb, RM
[J]. ARTIFICIAL INTELLIGENCE, 1999, 109 (1-2) : 187 - 209

← 1 2 3 4 5 →