Article ID Journal Published Year Pages File Type
1155271 Statistics & Probability Letters 2007 8 Pages PDF
Abstract
A weakly stationary process with summable partial autocorrelations is proved to have one-sided autoregressive and moving average representations. Sums of autocorrelations and alternating autocorrelations are expressed as products of simple rational functions of partial autocorrelations. A general bound for sums of squared autocorrelations in terms of partial autocorrelations is also obtained.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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