On processes with hyperbolically decaying autocorrelations

DOI10.1111/J.1467-9892.2010.00716.XzbMATH Open1294.62196OpenAlexW1922818265MaRDI QIDQ5495702FDOQ5495702

Authors: Łukasz Dębowski 

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00716.x

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• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Asymptotics for the partial autocorrelation function of a stationary process
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zbMATH Keywords

autocorrelationpartial autocorrelationARIMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cites Work

• Title not available (Why is that?)
• Time series: theory and methods
• Fractional differencing
• Characterization of the partial autocorrelation function
• On processes with summable partial autocorrelations
• AR and MA representation of partial autocorrelation functions, with applications
• Title not available (Why is that?)
• A Convergence Equivalence Related to Polynomials Orthogonal on the Unit Circle
• A Class of Antipersistent Processes
• An Asymptotic Result for the Finite Predictor.

Cited In (5)

• Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Decay of correlations on towers with non-Hölder Jacobian and non-exponential return time
• Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
• On processes with summable partial autocorrelations

Uses Software

• longmemo

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