Asymptotic second-order properties of sample partial correlations

The asymptotic behavior of the sample partial correlations (PARCORs) is studied in the case of a general stationary process. An explicit formula for PARCOR's second-order moments is provided. The analysis presented extends to more general processes as shown using previously reported results on the statistics of sample partial correlations of autoregressive (AR) and mixed autoregressive moving-average (ARMA) processes. This extension should be useful as the processes encountered in applications are not exactly AR or ARMA.<
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