On the behaviour of the sample autocovariances and autocorrelations of a seasonal arima model

Alain Latour and Roch Roy

Statistics & Probability Letters, 1989, vol. 8, issue 4, 339-345

Abstract: We derive the asymptotic moments of the autocovariances of a seasonal time series with the first difference of order s (s [greater-or-equal, slanted] 1) which is stationary. We study these statistics for centered and for uncentered data. Further, we show that the corresponding autocorrelations, at lags that are a multiple of the period s, converge in probability to one.

Keywords: seasonal; time; series; nonstationarity; autocovariances; autocorrelations; asymptotic; moments; integrated; processes (search for similar items in EconPapers)
Date: 1989
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