Finding an ARMA(p,q) model given its spectral density or its correlogram
classification
🧮 math.ST
stat.TH
keywords
modelarmacorrelogramdensitygivenspectralarticlecomputing
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An ARMA model can be fully determined based on either its spectral density, or its correlogram, i.e. a formula for computing the corresponding k th serial correlation for any integer k. In this article we describe how to find, given one of these three ways of specifying the model, the other two.
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