Explicit representation of finite predictor coefficients and its applications (Q2497189)

The finite-past predictor coefficients of stationary time series are considered, and an explicit representation for them, in terms of the MA and AR coefficients, is established. The proof is based on alternate applications of projection operators associated with the infinite past and infinite future. Applying a result for long memory processes, including the fractional ARIMA processes, the rate of convergence of the finite predictor coefficients is given. An inequality of Baxter-type for long memory processes is proved.