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ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS

✍ Scribed by Yoshihiro Yajima

Book ID: 111039479
Publisher: John Wiley and Sons
Year: 1985
Tongue: English
Weight: 589 KB
Volume: 6
Category: Article
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.1985.tb00409.x

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We consider a stationary time series \(\left\{X_{t}\right\}\) given by \(X_{1}=\sum_{k} \psi_{k} Z_{l-k}\), where the driving stream \(\left\{Z_{i}\right\}\) consists of independent and identically distributed random variables with mean zero and finite variance. Under the assumption that the filteri