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A proof of a relationship between the generalized variances for associated autoregressive and moving average processes
Authors:O D Anderson
Institution:(1) 9 Ingham Grove, Lenton Gardens, NG7 2LQ Nottingham, England
Abstract:Summary In this paper we give a simple proof of the result that, for any integer,r, given two processes of orderr, one autoregressive and the other moving average but both with the same parameters, then the generalized variance of all orderskge2r, for the autoregressive process, is exactly equal to the infinite order generalized variance for the moving average process.
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