Characterization of the Partial Autocorrelation Function
Ramsey, Fred L.
Ann. Statist., Tome 2 (1974) no. 1, p. 1296-1301 / Harvested from Project Euclid
The conditions $|\phi_k| \leqq 1$ for all $k = 1,2, \cdots$ and $|\phi_k| = 1$ implies $\phi_{k+1} = \phi_k$ are both necessary and sufficient for a sequence of real numbers $\{\phi_k; k = 1,2, \cdots\}$ to be the partial autocorrelation function for a real, discrete parameter, stationary time series. If all partial autocorrelations beyond the $p$th are zero, the series is an autoregression. If all beyond the $p$th have magnitude unity, the series satisfies a homogeneous stochastic difference equation. A stationary series is singular if and only if $\sum^N_1 \phi_k^2$ diverges with $N$. The likelihood function for the partial autocorrelation function is produced, assuming normality.
Publié le : 1974-11-14
Classification:  Partial autocorrelations,  autoregressions,  time series models,  stochastic difference equations,  stationary random processes,  62M10,  62N15,  60G10
@article{1176342881,
     author = {Ramsey, Fred L.},
     title = {Characterization of the Partial Autocorrelation Function},
     journal = {Ann. Statist.},
     volume = {2},
     number = {1},
     year = {1974},
     pages = { 1296-1301},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342881}
}
Ramsey, Fred L. Characterization of the Partial Autocorrelation Function. Ann. Statist., Tome 2 (1974) no. 1, pp.  1296-1301. http://gdmltest.u-ga.fr/item/1176342881/