A FORMULA FOR THE INVERSE AUTOCORRELATION FUNCTION OF AN AUTOREGRESSIVE PROCESS

Antti J. Kanto

Journal of Time Series Analysis, 1987, vol. 8, issue 3, 311-312

Abstract: Abstract. The determination of the inverse autocorrelation function of a weakly stationary autoregressive process using the autocorrelation function is considered. Usually this is carried out either by using frequency domain methods or by solving first the parameters of the process and then using them. In this paper we give a simple formula by which the inverse autocorrelation function can be determined directly from the autocorrelation function.

Date: 1987
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