Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152373 | Statistics & Probability Letters | 2012 | 8 Pages |
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 behavior, with remainder term, of those for FARIMA processes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
N.H. Bingham, Akihiko Inoue, Yukio Kasahara,