On the behaviour of the sample autocovariances and autocorrelations of a seasonal arima model

We derive the asymptotic moments of the autocovariances of a seasonal time series with the first difference of order s (s [greater-or-equal, slanted] 1) which is stationary. We study these statistics for centered and for uncentered data. Further, we show that the corresponding autocorrelations, at lags that are a multiple of the period s, converge in probability to one.

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Year of publication:	1989
Authors:	Latour, Alain ; Roy, Roch
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 8.1989, 4, p. 339-345
Publisher:	Elsevier
Keywords:	seasonal time series nonstationarity autocovariances autocorrelations asymptotic moments integrated processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254695