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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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