M28. Limiting behaviour of autocorrelation function of arma process as several roots of characteristic equation approach unit circle

DOI10.1080/03610918008812148zbMath0469.62070OpenAlexW1599044060MaRDI QIDQ3923457

Barry G. Quinn

Publication date: 1980

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918008812148

zbMATH Keywords

unit circleautocorrelation functionARMA processroots of characteristic equationlimiting behaviour

Mathematics Subject Classification ID

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

Cites Work

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