The asymptotic distribution of the constant behavior of the generalized partial autocorrelation function of an ARMA process

DOI10.1016/j.spl.2005.05.004zbMath1076.62090OpenAlexW2065943363MaRDI QIDQ2576377

Seongbaek Yi

Publication date: 27 December 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.004

zbMATH Keywords

identificationtime series analysisautoregressive moving averagegeneralized partial autocorrelation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Unnamed Item
• ARMA model identification
• The central limit theorem for dependent random variables
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

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