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The Autocorrelation Function Of Seasonal Arma Models

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  • Daniel Peña

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.

Suggested Citation

  • Daniel Peña, 1984. "The Autocorrelation Function Of Seasonal Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(4), pages 269-272, July.
    • Handle: RePEc:bla:jtsera:v:5:y:1984:i:4:p:269-272
    DOI: 10.1111/j.1467-9892.1984.tb00392.x
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