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

DOI10.1016/0167-7152(89)90042-4zbMath0677.62087OpenAlexW2085327031MaRDI QIDQ1123524

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

stationaryautocorrelationsnonstationarityintegrated processesseasonal time seriesasymptotic moments of the autocovariancescentered and for uncentered data

Mathematics Subject Classification ID

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

Related Items

Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire

Cites Work

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• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
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• 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