On the asymptotic behaviour of the sample autocovariance function for an integrated moving average process

DOI10.1093/biomet/64.2.419zbMath0371.62125OpenAlexW1990208122MaRDI QIDQ4147515

Roch Roy

Publication date: 1977

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/64.2.419

Mathematics Subject Classification ID

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

Related Items (3)

Some exact results on the sample autocovariances of a seasonal ARIMA model ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES ⋮ An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes

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