On the partial autocorrelations for an explosive process
- 1 January 1990
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 19 (9) , 3505-3526
- https://doi.org/10.1080/03610929008830393
Abstract
We obtain approximate formulae for the sampled autocovariances, and sampled serial and partial autocorrelations, arising from sufficiently long (but finite) series realisations of explosive first-order autoregressive processes. The correlation results are shown to agree closely with those derived for a length-10 simulation from the literature.Keywords
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