An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes

DOI10.1080/00949658108810453zbMath0457.62074OpenAlexW2139751032MaRDI QIDQ3906958

Jan G. De Gooijer

Publication date: 1981

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658108810453

zbMATH Keywords

autocorrelationsARMA processesautoregressive moving average modelssample momentsautocovariancestables of bias

Mathematics Subject Classification ID

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

Related Items (2)

Some exact results on the sample autocovariances of a seasonal ARIMA model ⋮ Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1

Cites Work

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• On the asymptotic behaviour of the sample autocovariance function for an integrated moving average process
• The behaviour of the sample autocorrelation function for an integrated moving average process
• On Bounds of Serial Correlations
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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