An explicit representation of Verblunsky coefficients

DOI10.1016/J.SPL.2011.11.004zbMATH Open1237.62111arXiv1109.4513OpenAlexW2042109618MaRDI QIDQ419253FDOQ419253

Authors: Akihiko Inoue, Yukio Kasahara, N. H. Bingham 

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1109.4513

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zbMATH Keywords

long memoryphase functionsFARIMA processespartial autocorrelation functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30) Stationary stochastic processes (60G10) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

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Cited In (12)

• Rigidity for matrix-valued Hardy functions
• Verblunsky coefficients and Nehari sequences
• Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
• Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle
• Multivariate prediction and matrix Szegő theory
• AR and MA representation of partial autocorrelation functions, with applications
• Explicit representation of finite predictor coefficients and its applications
• The intersection of past and future for multivariate stationary processes
• Modelling and Prediction of Financial Time Series
• Hardy, Littlewood and probability
• Representation theorems in finite prediction, with applications
• Szegő's theorem and its probabilistic descendants

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