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What does the partial autocorrelation function look like for large lags

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/84420

Title: What does the partial autocorrelation function look like for large lags
Authors: Inoue, A. Browse this author
Issue Date: 2001
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 536
Start Page: 1
End Page: 27
Abstract: We prove a representation of the partial autocorrelation function α(・) of a stationary process { Xn : n ∈ Z}, in terms of the AR(∞) and MA(∞) coefficients. We apply it to show what α(n) looks like for large n, especially, when {Xn} is a long-memory process. For example, if {Xn} is a fractional ARIMA(p. d. q) process, then we have a(n)~d/n as n → ∞.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/70234
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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