Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire

DOI10.2307/3315480zbMath0694.62009MaRDI QIDQ3470008

Alain Latour, Roch Roy

Publication date: 1989

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315480

zbMATH Keywords

rate of convergence; seasonal time series; sample autocorrelations; finite sample distributions; uncentered data

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

65C05: Monte Carlo methods

Related Items

On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model, The limiting distribution of the least‐squares estimator in nearly integrated seasonal models

Cites Work

• Unnamed Item
• Unnamed Item
• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
• Estimation for autoregressive processes with unit roots
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
• Testing for Unit Roots in Seasonal Time Series