Covariance Characterization by Partial Autocorrelation Matrices

• 1 May 1978
• journal article
• Published by Institute of Mathematical Statistics in The Annals of Statistics
• Vol. 6  (3) , 643-648
• https://doi.org/10.1214/aos/1176344208

Abstract

Keywords

• SINGULAR VALUE
• COVARIANCE FUNCTION
• PARTIAL CORRELATION
• MAXIMUM ENTROPY
• DISCRETE TIME
• AUTOCORRELATION FUNCTION
• STATIONARY PROCESS