Sampled autocorrelations from an integrated ARMA process

Sampled autocorrelations from an integrated ARMA process

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Article ID: iaor19942542
Country: Belgium
Volume: 33
Start Page Number: 45
End Page Number: 68
Publication Date: Sep 1993
Journal: Belgian Journal of Operations Research, Statistics and Computer Science
Authors:
Keywords: ARIMA processes
Abstract:

The paper investigates the behaviour of the lag-k sample serial correlation equ1, for series realisations (of length n) from any autoregressive integrated moving average (ARIMA) model, and make comparisons with earlier results reported by Hasza.

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