On processes with summable partial autocorrelations

DOI10.1016/J.SPL.2006.11.012MaRDI QIDQ2373666zbMATH OpenOpenAlexFDO

Authors Łukasz Dębowski

Publication date 16 July 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.11.012

zbMATH Keywords

autocorrelationautoregressive and moving average representationsDurbin-Levinson algorithmpartial autocorrelation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(11)

• Time series with infinite-order partial copula dependence
• Autoregressive representations of multivariate stationary stochastic processes
• Asymptotics for the partial autocorrelation function of a stationary process
• Szegő's theorem and its probabilistic descendants
• Limited distribution of sample partial autocorrelations: A matrix approach
• AR and MA representation of partial autocorrelation functions, with applications
• THE SUM OF FINITE MOVING AVERAGE PROCESSES
• An explicit representation of Verblunsky coefficients
• A characterization of the inverse autocorrelation function
• Autocorrelation functions
• On processes with hyperbolically decaying autocorrelations

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