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On processes with summable partial autocorrelations

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  • Debowski, Lukasz

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.

Suggested Citation

  • Debowski, Lukasz, 2007. "On processes with summable partial autocorrelations," Statistics & Probability Letters, Elsevier, vol. 77(7), pages 752-759, April.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:7:p:752-759
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    References listed on IDEAS

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    1. A. I. McLeod, 1998. "Hyperbolic Decay Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 473-483, July.
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    Cited by:

    1. Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
    2. Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.

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