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A characterization of the inverse autocorrelation function |
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| Authors: | Antti J. Kanto |
| Affiliation: | University of Tampere , Finland |
| Abstract: | The inverse autocorrelation function of a weakly stationary stochastic process Xt at lag h, γi h, is shown to equal the negative of the partial correlation between random variables Xt and Xt+h after elimination of the influence of random variables Xk, k≠t5,t+h. |
| Keywords: | Key Words and Phrases: weakly stationary stochastic process inverse autocorrelation function partial autocorrelation function |