The partial autocorrelation function of an ARMA (1,1) process

MaRDI QIDQ1186465zbMATH OpenFDO

Authors Lam Yeh

Publication date 28 June 1992

Published in Southeast Asian Bulletin of Mathematics (Search for Journal in Brave)

zbMATH Keywords

ARMA (1,1) processexplicit expressionpartial autocorrelation functionYule-Walker equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Limited distribution of sample partial autocorrelations: A matrix approach
• Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
• Simple correlated arma processes

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