An investigation of the moments of the sample autocovariances and autocorrelations for general arma processes
From MaRDI portal
Publication:3906958
DOI10.1080/00949658108810453zbMath0457.62074MaRDI QIDQ3906958
Publication date: 1981
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658108810453
autocorrelations; ARMA processes; autoregressive moving average models; sample moments; autocovariances; tables of bias
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1, Some exact results on the sample autocovariances of a seasonal ARIMA model
Cites Work
- Unnamed Item
- Unnamed Item
- On the asymptotic behaviour of the sample autocovariance function for an integrated moving average process
- The behaviour of the sample autocorrelation function for an integrated moving average process
- On Bounds of Serial Correlations
- BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION