论文标题
单位根在单位圆上具有单位根的模型的部分自相关参数化
Partial autocorrelation parameterisation of models with unit roots on the unit circle
论文作者
论文摘要
我们提出了具有部分自相关系数的自回归单元根模型（ARUMA）的参数化，以指定模型的自回归和集成部分。我们在单位根的上下文中获得了部分自相关的代数特性。主要结果是，如果部分自相关序列包含一些等于1或-1的值，则可以将这些值以这些值分为子序列分为子序列，每个值代表模型左侧总多项式的部分自相关。另一篇论文将讨论估计程序及其属性的细节。 Boshnakov和Halliday（2022）R软件包Sarima，https://cran.r-project.org/package=sarima（功能Sarima）提供了实施。
We propose a parametrization of autoregressive unit roots ARMA models (ARUMA) with partial autocorrelation coefficients to specify the autoregressive and integrated part of the model. We obtain the algebraic properties of the partial autocorrelations in the context of unit roots. The main result is that if a partial autocorrelation sequence contains some values equal to 1 or -1, then it can be split at these values into sub-sequences each of which represents the partial autocorrelations of a factor of the overall polynomial on the left-hand side of the model. A separate paper will discuss the details of the estimation procedure and its properties. An implementation is provided by Boshnakov and Halliday (2022) R package sarima, https://cran.r-project.org/package=sarima (function sarima).
