An explicit representation of Verblunsky coefficients
From MaRDI portal
Publication:419253
DOI10.1016/J.SPL.2011.11.004zbMATH Open1237.62111OpenAlexW2042109618MaRDI QIDQ419253FDOQ419253
Abstract: We prove a representation of the partial autocorrelation function (PACF) of a stationary process, or of the Verblunsky coefficients of its normalized spectral measure, in terms of the Fourier coefficients of the phase function. It is not of fractional form, whence simpler than the existing one obtained by the second author. We apply it to show a general estimate on the Verblunsky coefficients for short-memory processes as well as the precise asymptotic behaviour, with remainder term, of those for FARIMA processes.
Recommendations
- AR and MA representation of partial autocorrelation functions, with applications
- Explicit representation of finite predictor coefficients and its applications
- Reflection coefficients vs partial autocorrelations
- On processes with summable partial autocorrelations
- Verblunsky coefficients and Nehari sequences
Cites work
- scientific article; zbMATH DE number 5826344 (Why is no real title available?)
- scientific article; zbMATH DE number 2134205 (Why is no real title available?)
- scientific article; zbMATH DE number 2134207 (Why is no real title available?)
- scientific article; zbMATH DE number 3131354 (Why is no real title available?)
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 3513077 (Why is no real title available?)
- scientific article; zbMATH DE number 1875877 (Why is no real title available?)
- scientific article; zbMATH DE number 3244325 (Why is no real title available?)
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- AR and MA representation of partial autocorrelation functions, with applications
- Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
- Asymptotics for the partial autocorrelation function of a stationary process
- Characterization of the partial autocorrelation function
- Explicit representation of finite predictor coefficients and its applications
- Foundations of time series analysis and prediction theory
- Fractional differencing
- OPUC on one foot
- On the parametrization of autoregressive models by partial autocorrelations
- Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
- The Fitting of Time-Series Models
Cited in
(12)- Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
- Multivariate prediction and matrix Szegő theory
- Hardy, Littlewood and probability
- Representation theorems in finite prediction, with applications
- Szegő's theorem and its probabilistic descendants
- The intersection of past and future for multivariate stationary processes
- Modelling and Prediction of Financial Time Series
- AR and MA representation of partial autocorrelation functions, with applications
- Rigidity for matrix-valued Hardy functions
- Explicit representation of finite predictor coefficients and its applications
- Verblunsky coefficients and Nehari sequences
- Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle
This page was built for publication: An explicit representation of Verblunsky coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419253)
