2016年3月
Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes
STATISTICS & PROBABILITY LETTERS
- 巻
- 110
- 号
- 110
- 開始ページ
- 207
- 終了ページ
- 210
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1016/j.spl.2015.12.023
- 出版者・発行元
- ELSEVIER SCIENCE BV
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. (C) 2015 The Author. Published by Elsevier B.V.
- リンク情報
- ID情報
-
- DOI : 10.1016/j.spl.2015.12.023
- ISSN : 0167-7152
- eISSN : 1879-2103
- Web of Science ID : WOS:000374627200029