The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process

DOI10.2307/2287457zbMath0462.62019OpenAlexW4251777493MaRDI QIDQ3911856

David P. Hasza

Publication date: 1980

Full work available at URL: https://doi.org/10.2307/2287457

zbMATH Keywords

nonstationaritysample autocorrelation functionnonnormal asymptotic distributionintegrated autoregressive moving average time series

Mathematics Subject Classification ID

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

Related Items (8)

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 ⋮ Portmanteau-type tests for unit-root and cointegration ⋮ Higher-order sample autocorrelations and the unit root hypothesis ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES ⋮ ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS

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