paper

AR and MA representation of partial autocorrelation functions, with applications

arXiv:math/0702648 · doi:10.1007/s00440-007-0074-1

Abstract

We prove a representation of the partial autocorrelation function (PACF), or the Verblunsky coefficients, of a stationary process in terms of the AR and MA coefficients. We apply it to show the asymptotic behaviour of the PACF. We also propose a new definition of short and long memory in terms of the PACF.

Published in Probability Theory and Related Fields

AR and MA representation of partial autocorrelation functions, with applications · wovepaper