Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes
Inoue, Akihiko
Ann. Appl. Probab., Tome 12 (2002) no. 1, p. 1471-1491 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.
Publié le : 2002-11-14
Classification:  Asymptotic behavior,  partial autocorrelation function,  fractional ARIMA process,  62M10,  60G10 
@article{1037125870,
     author = {Inoue, Akihiko},
     title = {Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes},
     journal = {Ann. Appl. Probab.},
     volume = {12},
     number = {1},
     year = {2002},
     pages = { 1471-1491},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1037125870}
}

Inoue, Akihiko. Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp.  1471-1491. http://gdmltest.u-ga.fr/item/1037125870/