A characterization of the inverse autocorrelation function

DOI10.1080/03610928408828840MaRDI QIDQ5185870zbMATH OpenOpenAlexFDO

Authors Antti J. Kanto

Publication date 1984

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928408828840

zbMATH Keywords

partial correlationcharacterizationweakly stationary stochastic processinverse autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• scientific article; zbMATH DE number 3223275 (Why is no real title available?)
• A direct representation for the maximum likelihood estimator of a Gaussian moving average process
• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Autoregressive and window estimates of the inverse correlation function
• Estimating the order of moving average models: the max X²method
• INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS
• Inverse Autocorrelations
• Modified maximum likelihood estimation of Gaussian moving averages using a pseudoquadratic convergence criterion
• On the maximum likelihood estimation of the parameters of a Gaussian moving average process
• The estimation of parameters for autoregressive-moving average models from sample autocovariances
• The evaluation of certain quadratic forms occurring in autoregressive model fitting

Cited in

(7)

• Autoregressive time series modeling and the orthogonal relationship between autocorrelation and its inverse
• Partial and inverse autocorrelations in portmanteau-type tests for time series
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• Using instrumental variables for selecting the order of arma models
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• Duals of random vectors and processes with applications to prediction problems with missing values
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