发帖
雷达卡
英文文献：Generalised partial autocorrelations and the mutual information between past and future-广义偏自相关和过去与未来之间的相互信息
英文文献作者：Tommaso Proietti,Alessandra Luati
英文文献摘要：
The paper introduces the generalised partial autocorrelation (GPAC) coefficients of a stationary stochastic process. The latter are related to the generalised autocovariances, the inverse Fourier transform coefficients of a power transformation of the spectral density function. By interpreting the generalized partial autocorrelations as the partial autocorrelation coefficients of an auxiliary process, we derive their properties and relate them to essential features of the original process. Based on a parameterisation suggested by Barndorff-Nielsen and Schou (1973) and on Whittle likelihood, we develop an estimation strategy for the GPAC coefficients. We further prove that the GPAC coefficients can be used to estimate the mutual information between the past and the future of a time series.
介绍了平稳随机过程的广义部分自相关系数。后者与谱密度函数的幂变换的傅里叶反变换系数的广义自协方差有关。通过将广义偏自相关解释为辅助过程的偏自相关系数，导出了它们的性质，并将它们与原过程的本质特征联系起来。基于Barndorff-Nielsen和Schou(1973)提出的参数化和惠特尔似然，我们开发了GPAC系数的估计策略。我们进一步证明了GPAC系数可以用来估计时间序列过去和未来的相互信息。
京公网安备 11010802022788号
