ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS

DOI10.1111/J.1467-9892.1985.TB00409.XzbMath0573.62085OpenAlexW2081043184MaRDI QIDQ3690919

Yoshihiro Yajima

Publication date: 1985

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00409.x

zbMATH Keywords

simulationslimiting distributionssample autocorrelationspartial autocorrelationsmultiplicative ARIMA process

Mathematics Subject Classification ID

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

Related Items (5)

Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire ⋮ Sample autocorrelations of nonstationary fractionally integrated series ⋮ On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model ⋮ Some exact results on the sample autocovariances of a seasonal ARIMA model

Cites Work

• Estimation for autoregressive processes with unit roots
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• Interpreting partial autocorrelation functions of seasonal time series models
• Unnamed Item

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