Some exact results on the sample autocovariances of a seasonal ARIMA model
DOI10.2307/3314918zbMATH Open0632.62090OpenAlexW2079966507MaRDI QIDQ3769820FDOQ3769820
Authors: Alain Latour, Roch Roy 
Publication date: 1987
Published in: The Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3314918
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Cites Work
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- Testing for Unit Roots in Seasonal Time Series
- Testing for nonstationary parameter specifications in seasonal time series models
- ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS
- Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
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- The behaviour of the sample autocorrelation function for an integrated moving average process
- The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
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- An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes
- On the asymptotic behaviour of the sample autocovariance function for an integrated moving average process
Cited In (8)
- On the behaviour of the sample autocovariances and autocorrelations of a seasonal ARIMA model
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- The limiting distribution of the least‐squares estimator in nearly integrated seasonal models
- On the nearly nonstationary seasonal time series
- Computer algebra in probability and statistics
- Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
- A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses
- Practical small sample inference for single lag subset autoregressive models
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