The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
- 1 June 1980
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 75 (370) , 349
- https://doi.org/10.2307/2287457
Abstract
The behavior of the sample autocorrelation function, r(k), for an integrated autoregressive moving average time series is examined. The nonnormal asymptotic distribution of r(k) is characterized as a function of lag k and the parameters of the process. The validity of the approximation in moderate-sized samples is examined.Keywords
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