ON A PAPER BY DAVIES, PATE AND FROST CONCERNING MAXIMUM AUTOCORRELATIONS FOR MOVING AVERAGE PROCESSES1 |
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Authors: | O D Andeeson |
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Institution: | Civil Service College, London |
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Abstract: | The maximum possible autocorrelations, for moving average processes of order q, have recently been discussed. In this paper, we give the corresponding process parameter values when greatest (or least) autocorrelations are attained. The attainment of an individual autocorrelation bound often does not fully define the process, and for such cases we also investigate the possible conditional bounds for the remaining autocorrelations. |
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