Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire

DOI10.2307/3315480zbMath0694.62009OpenAlexW1596403994MaRDI QIDQ3470008

Roch Roy, Alain Latour

Publication date: 1989

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315480

zbMATH Keywords

rate of convergenceseasonal time seriessample autocorrelationsfinite sample distributionsuncentered data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (2)

On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model ⋮ The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

Cites Work

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• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
• Estimation for autoregressive processes with unit roots
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• Testing for Unit Roots in Seasonal Time Series

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