On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model

DOI10.1016/0167-7152(89)90042-4MaRDI QIDQ1123524zbMATH OpenOpenAlexFDO

Authors Alain Latour, Roch Roy

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

zbMATH Keywords

asymptotic moments of the autocovariancesautocorrelationscentered and for uncentered dataintegrated processesnonstationarityseasonal time seriesstationary

Mathematics Subject Classification ID

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

Recommendations

• Some exact results on the sample autocovariances of a seasonal ARIMA model
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• scientific article; zbMATH DE number 3999070
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• scientific article; zbMATH DE number 566077

Cites work

• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• scientific article; zbMATH DE number 3846713 (Why is no real title available?)
• scientific article; zbMATH DE number 3725530 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3785938 (Why is no real title available?)
• Multiple Time Series Regression with Integrated Processes
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process

Cited in

(5)

• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• scientific article; zbMATH DE number 566077 (Why is no real title available?)
• The seasonal variance and covariance of time series
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms

This page was built for publication: On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1123524)