PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1111/J.1467-9892.1992.TB00122.XMaRDI QIDQ4025278zbMATH OpenOpenAlexFDO

Authors Oliver D. Anderson

Publication date 18 February 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00122.x

zbMATH Keywords

ARUMA modelsautoregressive integrated moving-average processdifferencingpartial autocorrelation behaviourserial correlationstime series

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Interpreting partial autocorrelation functions of seasonal time series models
• The behaviour of the sample autocorrelation function for an integrated moving average process
• Time series: theory and methods

Cited in

(8)

• The sample autocorrelation function of I(1) processes
• Approximate moments to \(O(n^{-2})\) for the sampled partial autocorrelations from a white noise process
• Sample autocorrelations of nonstationary fractionally integrated series
• Characterization of the partial autocorrelation function of nonstationary time series.
• Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
• More effective time-series analysis and forecasting
• Partial autocorrelation parameterization for subset autoregression
• On processes with hyperbolically decaying autocorrelations

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