Article ID Journal Published Year Pages File Type
7549225 Statistics & Probability Letters 2016 4 Pages PDF
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.
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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
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