Add to ORKGAbstract. 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. 1
<p>General pattern of the autocorrelation function (ACF) and the partial autocorrelation function (P...
The second order properties of a process are usually characterized by the autocovariance function. I...
A new approach to describing correlation properties of complex dynamic systems with long-range memor...
We prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coeffici...
We prove a representation of the partial autocorrelation function α(・) of a stationary process { Xn ...
Partial autocorrelation function (PACF) of a stationary two-dimensional separable process is defined...
Abstract. We prove a simple asymptotic formula for partial autocorrelation func-tions of fractional ...
Abstract. We prove a simple asymptotic formula for partial autocorrelation func-tions of fractional ...
The purpose of this paper is to study the long-time behaviour of the partial autocorrelation functio...
In a time series context, the study of the partial autocorrelation function (PACF) is helpful for mo...
AbstractWe present a short proof of the fact that the exponential decay rate of partial autocorrelat...
We consider the finite-past predictor coefficients of stationary time series, and establish an expli...
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary st...
We explain the connection between autocorrelation functions of stationary continuous time processes ...
AbstractThe choice of a matrix square root in order to define a correlation coefficient is crucial f...
<p>General pattern of the autocorrelation function (ACF) and the partial autocorrelation function (P...
The second order properties of a process are usually characterized by the autocovariance function. I...
A new approach to describing correlation properties of complex dynamic systems with long-range memor...
We prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coeffici...
We prove a representation of the partial autocorrelation function α(・) of a stationary process { Xn ...
Partial autocorrelation function (PACF) of a stationary two-dimensional separable process is defined...
Abstract. We prove a simple asymptotic formula for partial autocorrelation func-tions of fractional ...
Abstract. We prove a simple asymptotic formula for partial autocorrelation func-tions of fractional ...
The purpose of this paper is to study the long-time behaviour of the partial autocorrelation functio...
In a time series context, the study of the partial autocorrelation function (PACF) is helpful for mo...
AbstractWe present a short proof of the fact that the exponential decay rate of partial autocorrelat...
We consider the finite-past predictor coefficients of stationary time series, and establish an expli...
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary st...
We explain the connection between autocorrelation functions of stationary continuous time processes ...
AbstractThe choice of a matrix square root in order to define a correlation coefficient is crucial f...
<p>General pattern of the autocorrelation function (ACF) and the partial autocorrelation function (P...
The second order properties of a process are usually characterized by the autocovariance function. I...
A new approach to describing correlation properties of complex dynamic systems with long-range memor...