Some exact results on the sample autocovariances of a seasonal ARIMA model
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Publication:3769820
DOI10.2307/3314918zbMath0632.62090OpenAlexW2079966507MaRDI QIDQ3769820
Publication date: 1987
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3314918
momentsmeanautocorrelationsnonstationaritysample autocovariancesseasonal time seriesautocovariancessymbolic manipulation programuncentered dataexact, explicit formulaelinear transformation of a seasonal random walk
Related Items (6)
Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire ⋮ 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 ⋮ Computer algebra in probability and statistics ⋮ Practical small sample inference for single lag subset autoregressive models ⋮ On the nearly nonstationary seasonal time series
Uses Software
Cites Work
- Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
- Testing for nonstationary parameter specifications in seasonal time series models
- ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
- An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes
- The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
- On the asymptotic behaviour of the sample autocovariance function for an integrated moving average process
- Testing for Unit Roots in Seasonal Time Series
- The behaviour of the sample autocorrelation function for an integrated moving average process
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