Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1

Author:

De Gooijer Jan G.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference13 articles.

1. Formulae for the expected values of the sampled variance and covariances from series generated by general autoregressive integrated moving average processes of order (p, d, q);Anderson;Sankhyā,1979

2. On discriminating between IMA(1,1) and ARMA(1,1) processes: Some extensions to a paper by Wichern;Anderson;The Statistician,1979

3. Formulae for the covariance structure of the sampled autocovariances from series generated by general autoregressive integrated moving average processes of order (p, d, q), d=0 or 1;Anderson,1980

4. Time series analysis;Box,1970

5. An investigation of the moments of the sample autocovariances and autocorrelations for general ARMA processes;De Gooijer,1979

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