Sampled autocorrelations from an integrated Arma process

Authors

  • O. Anderson Department of Statistical and Actuarial Sciences, Western Science Centre University of Western Ontario

Abstract

We investigate the behaviour of the lag-k sample serial correlation rk(n) (0 < k < n), for series realisations (of length n) from any autoregressive integrated moving average (ARIMA) model, and make comparisons with earlier results reported by Hasza (1980).

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Published

1994-09-01

How to Cite

Anderson, O. (1994). Sampled autocorrelations from an integrated Arma process. JORBEL - Belgian Journal of Operations Research, Statistics, and Computer Science, 33(3), 45–68. Retrieved from https://www.orbel.be/jorbel/index.php/jorbel/article/view/161

Issue

Vol. 33 No. 3 (1993)

Section

Articles