Characterization of the Partial Autocorrelation Function
نویسندگان
چکیده
منابع مشابه
Characterization of the Partial Autocorrelation Function of Nonstationary
The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which...
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The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which...
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The autocorrelation function has a very important role in several application areas involving stochastic processes. In fact, it assumes the theoretical base for Spectral analysis, ARMA (and generalizations) modeling, detection, etc. However and as it is well known, the results obtained with the more current estimates of the autocorrelation function (biased or not) are frequently bad, even when ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1974
ISSN: 0090-5364
DOI: 10.1214/aos/1176342881