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1987•Journal of Time Series AnalysisRequires access

A FORMULA FOR THE INVERSE AUTOCORRELATION FUNCTION OF AN AUTOREGRESSIVE PROCESS

Antti Kanto

Open publisher page 8 citations

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.

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What this paper is about

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.

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OpenAlex reports 8 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available 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.

Key concepts: Autocorrelation, Autocorrelation technique, Mathematics, Partial autocorrelation function, Autoregressive model, Autocorrelation matrix, Moving-average model, Inverse

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