On the Distribution of Residual Autocorrelations in Box–Jenkins Models
- 1 July 1978
- journal article
- research article
- Published by Oxford University Press (OUP) in Journal of the Royal Statistical Society Series B: Statistical Methodology
- Vol. 40 (3) , 296-302
- https://doi.org/10.1111/j.2517-6161.1978.tb01042.x
Abstract
Summary: The large sample distribution of the residual autocorrelations in the arma model is derived. The main advantage of this derivation over that of Box and Pierce (1970) is that it extends directly to more general situations. Generalizations of the derived distribution are presented for the residual autocorrelations in the multiplicative seasonal arma model and for the autocorrelations of a subseries of the residuals.This publication has 8 references indexed in Scilit:
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