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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 |
| Issue Date: | 2007 |
| Publisher: | Department of Mathematics, Hokkaido University |
| 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
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Submitter: 数学紀要登録作業用
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