On processes with summable partial autocorrelations

DOI10.1016/j.spl.2006.11.012zbMath1116.62091OpenAlexW1991274696MaRDI QIDQ2373666

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

autocorrelationDurbin-Levinson algorithmpartial autocorrelationautoregressive and moving average representations

Mathematics Subject Classification ID

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

Related Items (3)

Szegő's theorem and its probabilistic descendants ⋮ Time series models with infinite-order partial copula dependence ⋮ On processes with hyperbolically decaying autocorrelations

Cites Work

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• Characterization of the partial autocorrelation function
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• The Fitting of Time-Series Models
• An Asymptotic Result for the Finite Predictor.
• Hyperbolic Decay Time Series
• Regularities unseen, randomness observed: Levels of entropy convergence

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