Inverse Autocorrelations

DOI10.2307/2982488MaRDI QIDQ3866973zbMATH OpenOpenAlexFDO

Authors

Publication date 1979

Published in Journal of the Royal Statistical Society. Series A (General) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2982488

zbMATH Keywords

ARIMA modelsBox-Jenkins approachinverse autocorrelation functionpartial autocorrelation functiontime-series modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Cited in

(15)

• On the existence of a class of invertible FIR filters for spectral shaping
• The inverse partial correlation function of a time series and its applications
• On relations between prediction error covariance of univariate and multivariate processes
• Optimal convergence rates in non-parametric regression with fractional time series errors
• Using instrumental variables for selecting the order of arma models
• ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION
• A stochastic model for parameter identification of adhesive materials
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
• The variance profile
• A characterization of the inverse autocorrelation function
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• Inverse autocovariance estimates
• The Hyvärinen scoring rule in Gaussian linear time series models
• A periodogram-based metric for time series classification
• The auto-regression and the moving-average

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