On processes with summable partial autocorrelations

Lukasz Debowski

Statistics & Probability Letters, 2007, vol. 77, issue 7, 752-759

Abstract: A weakly stationary process with summable partial autocorrelations is proved to have one-sided autoregressive and moving average representations. Sums of autocorrelations and alternating autocorrelations are expressed as products of simple rational functions of partial autocorrelations. A general bound for sums of squared autocorrelations in terms of partial autocorrelations is also obtained.

Keywords: Autocorrelation; Partial; autocorrelation; Autoregressive; and; moving; average; representations; Durbin-Levinson; algorithm (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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