A note on inverse autocorrelations

BOVAS Abraham; JOHANNES Ledolter

doi:10.1093/biomet/71.3.609

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Journal article

Peer reviewed

A note on inverse autocorrelations

BOVAS Abraham and JOHANNES Ledolter

Biometrika, Vol.71(3), pp.609-614

12/1984

DOI: 10.1093/biomet/71.3.609

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Abstract

SUMMARY The usefulness of inverse autocorrelations as a model specification tool in time series analysis is investigated. Simulation results for autoregressive processes indicate that they are less powerful than the partial autocorrelations.

Autocorrelation

Autoregressive-moving average model

Inverse autocorrelation

Inverse partial autocorrelation

Partial autocorrelation

Time series model building

Details

Title: Subtitle: A note on inverse autocorrelations
Creators: BOVAS Abraham - University of Waterloo
JOHANNES Ledolter - University of Iowa
Resource Type: Journal article
Publication Details: Biometrika, Vol.71(3), pp.609-614
Publisher: Oxford University Press
DOI: 10.1093/biomet/71.3.609
ISSN: 0006-3444
eISSN: 1464-3510
Language: English
Date published: 12/1984
Academic Unit: Statistics and Actuarial Science; Business Analytics
Record Identifier: 9984380388302771

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