The inverse partial correlation function of a time series and its applications

DOI10.1016/0047-259X(83)90029-5zbMath0513.62091MaRDI QIDQ1050734

R. J. Bhansali

Publication date: 1983

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

time seriesmoving average processsimulation studyorder estimationautoregressive spectral estimateCleveland-Parzen equationsdiscrete stationary processinverse covariance functioninverse partial correlation functioninverse spectral densitymodification of Akaike criterion

Mathematics Subject Classification ID

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

Related Items (5)

ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION ⋮ Differential geometry of a parametric family of invertible linear systems—Riemannian metric, dual affine connections, and divergence ⋮ Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations ⋮ ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING ⋮ Partial autocorrelation parameterization for subset autoregression

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The estimation of the order of an ARMA process
• Characterization of the partial autocorrelation function
• Estimating the dimension of a model
• On the parametrization of autoregressive models by partial autocorrelations
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• Inverse Autocorrelations
• Autoregressive and window estimates of the inverse correlation function
• A note on the generalized information criterion for choice of a model
• Some recent advances in time series modeling
• Selection of the order of an autoregressive model by Akaike's information criterion
• Comments on ‘ On model structure testing in system identification’
• Estimating the order of moving average models: the max X²method
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• The Inverse Autocorrelations of a Time Series and Their Applications
• The estimation of mixed moving average autoregressive systems
• ON HANNAN'S ESTIMATION OF ARMA MODELS
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes

This page was built for publication: The inverse partial correlation function of a time series and its applications