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Asymptotic Properties Of The Sample Autocorrelations And Partial Autocorrelations Of A Multiplicative Arima Process

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  • Yoshihiro Yajima

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.

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  • Yoshihiro Yajima, 1985. "Asymptotic Properties Of The Sample Autocorrelations And Partial Autocorrelations Of A Multiplicative Arima Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(3), pages 187-201, May.
  • Handle: RePEc:bla:jtsera:v:6:y:1985:i:3:p:187-201
    DOI: 10.1111/j.1467-9892.1985.tb00409.x
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