Summable processes versus semimartingales
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: Proceedings of the American Mathematical Society
سال: 2004
ISSN: 0002-9939,1088-6826
DOI: 10.1090/s0002-9939-04-07308-3