Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1

DOI10.1016/0304-4076(80)90033-0zbMath0457.62075OpenAlexW2042569257MaRDI QIDQ1151223

Jan G. De Gooijer

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90033-0

zbMATH Keywords

autoregressive moving averagetime series modelssample autocorrelationsexact momentsgeneral ARIMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Statistical tables (62Q05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more, On moments of ratios of quadratic forms in normal variables, Sampled autocovariance and autocorrelation results for linear time processes, The exact multi-period mean-square forecast error for the first-order autoregressive model, Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process, Some exact results on the sample autocovariances of a seasonal ARIMA model, COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS, Computing moments of ratios of quadratic forms in normal variables, Discriminating between nonstationary and nearly nonstationary time series models: A simulation study, On the expectation of a ratio of quadratic forms in normal variables, HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES, The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution, A New Exponential GOF Test for Data Subject to Multiply Type II Censoring, Some robust exact results on sample autocorrelations and tests of randomness

Cites Work

• The exact moments of the least squares estimator for the autoregressive model
• An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes
• Finite-Sample Properties of the k-Class Estimators
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item