Covariance Matrices Characterization by a Set of Scalar Partial Autocorrelation Coefficients
Sakai, Hideaki
Ann. Statist., Tome 11 (1983) no. 1, p. 337-340 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
It has been shown that the autocovariance matrices of a stationary multivariate time series can be uniquely characterized by a sequence of the normalized partial autocorrelation matrices having singular values less than one. In this note, we show that the same autocovariance matrices can be also uniquely characterized by a set of sequences of scalar partial autocorrelation coefficients whose magnitudes are all less than one.
Publié le : 1983-03-14
Classification:  Partial autocorrelation coefficients,  multivariate stationary processes,  circular lattice filtering,  62M10,  62N15,  62M15,  60G10 
@article{1176346085,
     author = {Sakai, Hideaki},
     title = {Covariance Matrices Characterization by a Set of Scalar Partial Autocorrelation Coefficients},
     journal = {Ann. Statist.},
     volume = {11},
     number = {1},
     year = {1983},
     pages = { 337-340},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176346085}
}

Sakai, Hideaki. Covariance Matrices Characterization by a Set of Scalar Partial Autocorrelation Coefficients. Ann. Statist., Tome 11 (1983) no. 1, pp.  337-340. http://gdmltest.u-ga.fr/item/1176346085/