IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v13y1983i2p310-327.html
   My bibliography  Save this article

The inverse partial correlation function of a time series and its applications

Author

Listed:
  • Bhansali, R. J.

Abstract

The concept of the inverse correlation function of a stationary process was introduced by Cleveland (Technometrics 14 (1972), 277-293). The inverse partial correlation function of a stationary process may intuitively be thought of as the corresponding extension of the concept of the partial correlation function. A precise mathematical definition of this function is given. Its importance in describing the structure of a moving average of finite order h is discussed. Having observed X1,...,XT, the autoregressive method of estimating the inverse correlations is employed for constructing sample estimates of the inverse partial correlations. For the hth-order moving average process, the estimates beyond h are, as T --> [infinity], asymptotically independent normally distributed with 0 mean and variance T-1. Their use for estimating h and for testing hypotheses concerning h is examined.

Suggested Citation

  • Bhansali, R. J., 1983. "The inverse partial correlation function of a time series and its applications," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 310-327, June.
    • Handle: RePEc:eee:jmvana:v:13:y:1983:i:2:p:310-327
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(83)90029-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rahiala, Markku, . "On the Identification and Estimation of Multiple Input Transfer Function Models with Autocorrelated Errors," ETLA A, The Research Institute of the Finnish Economy, number 8, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:13:y:1983:i:2:p:310-327. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.