Daniels, M.J.; Pourahmadi, M. - In: Journal of Multivariate Analysis 100 (2009) 10, pp. 2352-2363
We study the role of partial autocorrelations in the reparameterization and parsimonious modeling of a covariance matrix. The work is motivated by and tries to mimic the phenomenal success of the partial autocorrelations function (PACF) in model formulation, removing the positive-definiteness...