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What does the partial autocorrelation function look like for large lags
| Title: | What does the partial autocorrelation function look like for large lags |
| Authors: | Inoue, A. Browse this author |
| Issue Date: | 2001 |
| Publisher: | Department of Mathematics, Hokkaido University |
| 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
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Submitter: 数学紀要登録作業用
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