ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS |
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| Authors: | Yoshihiro Yajima |
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| Affiliation: | Department of Information Sciences, Tokyo Institute of Technology |
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| Abstract: | ![]()
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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| Keywords: | ARIMA processes autocorrelation partial autocorrelation |
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