Annals of Statistics
- Ann. Statist.
- Volume 34, Number 2 (2006), 973-993.
Explicit representation of finite predictor coefficients and its applications
We consider the finite-past predictor coefficients of stationary time series, and establish an explicit representation for them, in terms of the MA and AR coefficients. The proof is based on the alternate applications of projection operators associated with the infinite past and the infinite future. Applying the result to long memory processes, we give the rate of convergence of the finite predictor coefficients and prove an inequality of Baxter-type.
Ann. Statist., Volume 34, Number 2 (2006), 973-993.
First available in Project Euclid: 27 June 2006
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G25: Prediction theory [See also 62M20]
Secondary: 62M20: Prediction [See also 60G25]; filtering [See also 60G35, 93E10, 93E11] 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Inoue, Akihiko; Kasahara, Yukio. Explicit representation of finite predictor coefficients and its applications. Ann. Statist. 34 (2006), no. 2, 973--993. doi:10.1214/009053606000000209. https://projecteuclid.org/euclid.aos/1151418248