ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

DOI10.1111/j.1467-9892.1991.tb00077.xzbMath0729.62081MaRDI QIDQ3354942

Byoung-Seon Choi

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00077.x

zbMATH Keywords

identification; time series; inverse matrix; ARMA process; ARMA order estimation; GPAC; autocorrelation sequence; autoregressive moving-average processes; generalized partial autocorrelation function; double-indexed sequence; thick- tailed asymptotic distribution

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

Related Items

Asymptotic Results for Spatial ARMA Models, Quenouille-type theorem on autocorrelations, Iterated logarithm law for sample generalized partial autocorrelations, A recursive algorithm for solving the spatial Yule-Walker equations of causal spatial AR models, Limited distribution of sample partial autocorrelations: A matrix approach, The asymptotic distribution of the constant behavior of the generalized partial autocorrelation function of an ARMA process

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