THE AUTOCORRELATION FUNCTION OF SEASONAL ARMA MODELS

Daniel Peña

Journal of Time Series Analysis, 1984, vol. 5, issue 4, 269-272

Abstract: Abstract. This note obtains the theoretical autocorrelation function of an ARMA model with multiplicative seasonality. It is shown that this function can be interpretated as the result of the interaction between the seasonal and regular autocorrelation patterns of the ARMA model. The use of this result makes easier the identification of the structure of the model, is helpful in choosing between a multiplicative or additive seasonal component and leads to a better understanding of the properties of the estimated autocorrelation function of scalar ARMA processes.

Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:5:y:1984:i:4:p:269-272

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