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

DOI10.1111/j.1467-9892.1991.tb00077.xzbMath0729.62081OpenAlexW2062716148MaRDI 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

identificationtime seriesinverse matrixARMA processARMA order estimationGPACautocorrelation sequenceautoregressive moving-average processesgeneralized partial autocorrelation functiondouble-indexed sequencethick- tailed asymptotic distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (6)

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 ⋮ Asymptotic Results for Spatial ARMA Models ⋮ The asymptotic distribution of the constant behavior of the generalized partial autocorrelation function of an ARMA process

Cites Work

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• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Use of canonical analysis in time series model identification
• An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)
• A Levinson-Durbin recursion for autoregressive-moving average processes
• On the Relationship Between the S Array and the Box-Jenkins Method of ARMA Model Identification
• The Solution of a Toeplitz Set of Linear Equations

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