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A Formula For The Inverse Autocorrelation Function Of An Autoregressive Process

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  • Antti J. Kanto

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.

Suggested Citation

  • Antti J. Kanto, 1987. "A Formula For The Inverse Autocorrelation Function Of An Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 311-312, May.
    • Handle: RePEc:bla:jtsera:v:8:y:1987:i:3:p:311-312
    DOI: 10.1111/j.1467-9892.1987.tb00443.x
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    Cited by:

    1. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
    2. R. H. Glendinning, 2000. "Estimating the Inverse Autocorrelation Function from Outlier Contaminated Data," Computational Statistics, Springer, vol. 15(4), pages 541-565, December.

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