On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
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Publication:1123524
DOI10.1016/0167-7152(89)90042-4zbMath0677.62087OpenAlexW2085327031MaRDI QIDQ1123524
Publication date: 1989
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(89)90042-4
stationaryautocorrelationsnonstationarityintegrated processesseasonal time seriesasymptotic moments of the autocovariancescentered and for uncentered data
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Cites Work
- Consistency properties of least squares estimates of autoregressive parameters in ARMA models
- Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
- ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
- Multiple Time Series Regression with Integrated Processes
- Some exact results on the sample autocovariances of a seasonal ARIMA model
- The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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