PARTIAL AUTOCORRELATION PROPERTIES FOR NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

O. D. Anderson

Journal of Time Series Analysis, 1992, vol. 13, issue 6, 485-500

Abstract: Abstract. We are primarily interested in relating the partial autocorrelation behaviour of an autoregressive integrated moving‐average process of order (p, d, q), {Zi} say, with those of its D‐differenced processes {(1 ‐ B)DZi} (D= 1, …, d). To this end, we evaluate the early partial correlations corresponding to serial correlations which initially follow a slow linear decline from unity. These partials, to a first approximation, take a small constant negative value from lag 2 onwards. We also demonstrate a relationship between the theoretical partials πk and πk(Δ) for a once‐integrated process {Zi} and its first‐differenced process {(1 ‐ B)Zi} respectively. These results carry over to cases where the non‐stationary zeros are at ‐1, and differencing is replaced by the corresponding ‘simplifying’ transformation implicit in the operator 1 +B.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1992.tb00122.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:6:p:485-500

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().