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Comportamiento asintótico del correlograma residual

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Author Info
Andrés Ubierna
Santiago Velilla
Abstract

En este trabajo se formalizan algunos resultados relativos al comportamiento asintótico del correlograma residual que, en la literatura de series temporales, aparecen recurrentemente y son de gran utilidad para la obtención y demostración de algunas propuestas de interés. Como ejemplo, se incluye una derivación del estadístico de Box-Pierce (1970).

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Documentos de Trabajo de Estadística y Econometría with number ds030101.

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Length: 20 pages
Date of creation: Jan 2003
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Handle: RePEc:cte:dsrepe:ds030101

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