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：
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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.
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页码：523 / 551
页数：28
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