Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549225 | Statistics & Probability Letters | 2016 | 4 Pages |
Abstract
We present a short proof of the fact that the exponential decay rate of partial autocorrelation coefficients of a short-memory process, in particular an ARMA process, is equal to the exponential decay rate of the coefficients of its infinite autoregressive representation.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Akimichi Takemura,