Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes

Akimichi Takemura

Statistics & Probability Letters, 2016, vol. 110, issue C, 207-210

Abstract: 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.

Keywords: Autocorrelation function; Durbin–Levinson algorithm (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.12.023

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