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Explicit representation of finite predictor coefficients and its applications

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Title: Explicit representation of finite predictor coefficients and its applications
Authors: Inoue, Akihiko Browse this author
Kasahara, Yukio Browse this author
Keywords: Predictor
AR coefficients
MA coefficients
fractional ARIMA processes
long memory
Baxter’s inequality
Issue Date: Apr-2006
Publisher: Institute of Mathematical Statistics
Journal Title: The Annals of Statistics
Volume: 34
Issue: 2
Start Page: 973
End Page: 993
Publisher DOI: 10.1214/009053606000000209
Abstract: We consider the finite-past predictor coefficients of stationary time series, and establish an explicit representation for them, in terms of the MA and AR coefficients. The proof is based on the alternate applications of projection operators associated with the infinite past and the infinite future. Applying the result to long memory processes, we give the rate of convergence of the finite predictor coefficients and prove an inequality of Baxter-type.
Type: article (author version)
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上 昭彦

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