On processes with summable partial autocorrelations
نویسندگان
چکیده
منابع مشابه
On processes with summable partial autocorrelations
A weakly stationary process with summable partial autocorrelations is proved to have one-sided autoregressive and moving average representations. Sums of autocorrelations and alternating autocorrelations are expressed as products of simple rational functions of partial autocorrela-tions. A general bound for sums of squared autocorrelations in terms of partial autocorrelations is also obtained.
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2007
ISSN: 0167-7152
DOI: 10.1016/j.spl.2006.11.012