ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS

Yoshihiro Yajima

Journal of Time Series Analysis, 1985, vol. 6, issue 3, 187-201

Abstract: Abstract. We shall investigate the asymptotic behaviour of the sample autocorrelations and partial autocorrelations of a multiplicative ARIMA process and derive their limiting distributions. Some simulations are presented to illustrate the results obtained.

Date: 1985
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https://doi.org/10.1111/j.1467-9892.1985.tb00409.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:6:y:1985:i:3:p:187-201

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