ABSTRACT
The features of time series can be concisely described using time series
models. In this chapter, we consider methods for obtaining the impulse
response function, the autocovariance function, the partial autocorrela-
tion (PARCOR), the power spectrum and the roots of the characteristic
equation from the univariate ARMA model (Box and Jenkins (1970),
Brockwell and Davis (1991), Shumway and Stoffer (2000)). The rela-
tions between the AR coefficients and the PARCORs are also shown.
Further, methods of obtaining the cross spectrum and the relative power
contribution based on the multivariate AR model are presented.
