A Generalization of Autocorrelation and Partial Autocorrelation Functions Useful for Identification of ARMA(p,q) Processes

Abstract

A new definition of generalized autocorrelation function is proposed. It has properties useful for identification of ARMA processes. The advantages of the proposed procedure include simple asymptotic theory and quick recursive computation. These are natural generalizations of corresponding results for autocorrelation and partial autocorrelation functions.

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1984
Accession Number
ADA140880

Entities

People

  • A. Takemura

Organizations

  • Purdue University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Autocorrelation
  • Computations
  • Computing-Related Activities
  • Correlation Techniques
  • Data Science
  • Identification
  • Information Science
  • Mathematical Analysis
  • Mathematics

Readers

  • Statistical inference.