کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1152373 958281 2012 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An explicit representation of Verblunsky coefficients
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
An explicit representation of Verblunsky coefficients
چکیده انگلیسی

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 behavior, with remainder term, of those for FARIMA processes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 82, Issue 2, February 2012, Pages 403–410
نویسندگان
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