The asymptotic distribution of the sample inverse autocorrelations of an autoregressive-moving average process

DOI10.1093/BIOMET/67.1.223MaRDI QIDQ3859151zbMATH OpenOpenAlexFDO

Authors Jonathan R. M. Hosking

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.1.223

zbMATH Keywords

asymptotic distributiontime series modellingautoregressive moving average processinverse autocorrelation

Mathematics Subject Classification ID

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

Cited in

(3)

• The Hyvärinen scoring rule in Gaussian linear time series models
• A minimum distance estimator for long-memory processes
• Estimating the inverse autocorrelation function from outlier contaminated data

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