INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS
DOI10.1111/J.1467-9892.1983.TB00360.XzbMATH Open0522.62077OpenAlexW1969578865MaRDI QIDQ3672942FDOQ3672942
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
ARMA processesstationary processlinear filtersinverse autocovarianceslinear deterministic constraintslinear two-sided interpolatorsmeasure of linear determinism
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)
Cites Work
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- The Interpretation of R 2 in Autoregressive-Moving Average Time Series Models
- The Inverse Autocorrelations of a Time Series and Their Applications
- 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
Cited In (13)
- Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
- Spectral decomposition of the AR metric
- A Note on the Estimation of Missing Values in Time Series
- Efficient nonparametric estimation of generalised autocovariances
- Dual and inverse ARMA processes and application to time reversibility
- Partial and inverse autocorrelations in portmanteau-type tests for time series
- A periodogram-based metric for time series classification
- Long memory conditional random fields on regular lattices
- A characterization of the inverse autocorrelation function
- Generalised partial autocorrelations and the mutual information between past and future
- Generalised cepstral models for the spectrum of vector time series
- The generalised autocovariance function
- Generalized autocovariance matrices for multivariate time series
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