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AR and MA representation of partial autocorrelation functions, with applications

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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
Issue Date: 2007
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 829
Start Page: 1
End Page: 23
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.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69638
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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