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AR and MA representation of partial autocorrelation functions, with applications
Title: | AR and MA representation of partial autocorrelation functions, with applications |
Authors: | Inoue, Akihiko Browse this author |
Keywords: | partial autocorrelation functions | Verblunsky coefficients | orthogonal polynomials on the unit circle | Baxter's condition | fractional ARIMA processes | long memory | primary |
Issue Date: | Mar-2008 |
Publisher: | Springer |
Journal Title: | Probability Theory and Related Fields |
Volume: | 140 |
Issue: | 3-4 |
Start Page: | 523 |
End Page: | 551 |
Publisher DOI: | 10.1007/s00440-007-0074-1 |
Abstract: | 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. |
Rights: | The original publication is available at www.springerlink.com |
Relation: | http://www.springerlink.com |
Type: | article (author version) |
URI: | http://hdl.handle.net/2115/32321 |
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)
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Submitter: 井上 昭彦
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