INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS

DOI10.1111/J.1467-9892.1983.TB00360.XMaRDI QIDQ3672942zbMATH OpenOpenAlexFDO

Authors Francesco Battaglia

Publication date 1983

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1983.tb00360.x

zbMATH Keywords

ARMA processesstationary processlinear filtersinverse autocovarianceslinear deterministic constraintslinear two-sided interpolatorsmeasure of linear determinism

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cites work

• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Approximations for stationary covariance matrices and their inverses with application to ARMA models
• The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
• The Inverse Autocorrelations of a Time Series and Their Applications

Cited in

(13)

• Efficient nonparametric estimation of generalised autocovariances
• Long memory conditional random fields on regular lattices
• Partial and inverse autocorrelations in portmanteau-type tests for time series
• Spectral decomposition of the AR metric
• A characterization of the inverse autocorrelation function
• Generalized autocovariance matrices for multivariate time series
• The generalised autocovariance function
• Generalised partial autocorrelations and the mutual information between past and future
• A Note on the Estimation of Missing Values in Time Series
• Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
• Dual and inverse ARMA processes and application to time reversibility
• Generalised cepstral models for the spectrum of vector time series
• A periodogram-based metric for time series classification

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