Indicatori, strutturali per processi stocastici lineari

Abstract

This paper concerns some indices which have been introduced in the literature in order to measure some typical aspects of the structure of the ARMA processes. Specifically, it refers to the coefficient of determination of a stationary process, the coefficient of determination of the corresponding inverse process and a measure of linear determinism. In this article we show some interesting relationships between those measures and the spectrum and discuss the implications of a decomposition of the index of linear determinism. Finally, we propose two alternative procedures to produce a geometrical representation of ARMA processes which can be applied for comparing real time series.