Explicit representation of finite predictor coefficients and its applications
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Publication:2497189
Abstract: We consider the finite-past predictor coefficients of stationary time series, and establish an explicit representation for them, in terms of the MA and AR coefficients. The proof is based on the alternate applications of projection operators associated with the infinite past and the infinite future. Applying the result to long memory processes, we give the rate of convergence of the finite predictor coefficients and prove an inequality of Baxter-type.
The finite-past predictor coefficients of stationary time series are considered, and an explicit representation for them, in terms of the MA and AR coefficients, is established. The proof is based on alternate applications of projection operators associated with the infinite past and infinite future. Applying a result for long memory processes, including the fractional ARIMA processes, the rate of convergence of the finite predictor coefficients is given. An inequality of Baxter-type for long memory processes is proved.
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Cited in
(31)- Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle
- Szegő's theorem and its probabilistic descendants
- Multivariate prediction and matrix Szegő theory
- Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
- Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes
- On series representations for linear predictors
- Closed-form expression for finite predictor coefficients of multivariate ARMA processes
- Higher-order improvements of the sieve bootstrap for fractionally integrated processes
- Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
- Directed attention and nonparametric learning
- Convergence of the best linear predictor of a weakly stationary random field
- AR and MA representation of partial autocorrelation functions, with applications
- Rigidity for matrix-valued Hardy functions
- Prediction of long memory processes on same-realisation
- Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
- The intersection of past and future for multivariate stationary processes
- Estimation of inverse autocovariance matrices for long memory processes
- Prediction of Fractional Brownian Motion-Type Processes
- Computationally efficient stepup and stepdown procedures for real predictor coefficients
- An explicit representation of Verblunsky coefficients
- Baxter's inequality for triangular arrays
- Aspects of prediction
- Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
- Verblunsky coefficients and Nehari sequences
- Inference for impulse response coefficients from multivariate fractionally integrated processes
- Explicit formulas for the inverses of Toeplitz matrices, with applications
- Representation theorems in finite prediction, with applications
- On the asymptotic behavior of a finite section of the optimal causal filter
- Amazingly versatile Durbin regressions with persistent and nonlinear errors: HAC comparisons
- Explicit weighting coefficients for predicting ARMA time series from the finite past
- Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
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