A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION

C. J. Tian

Journal of Time Series Analysis, 1988, vol. 9, issue 4, 411-417

Abstract: Abstract. It is shown that the sample autocovariance of a periodically correlated process converges to a limit which reveals the same periodicity as the process. A theorem is proved relating to the rate of almost sure convergence, which is uniform in the lag up to some orders of observation length. Based on the limiting property, a strongly consistent estimate of hidden period is proposed.

Date: 1988
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