Abstract
We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.
Citation
Akihiko Inoue. "Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes." Ann. Appl. Probab. 12 (4) 1471 - 1491, November 2002. https://doi.org/10.1214/aoap/1037125870
Information
Published: November 2002
First available in Project Euclid: 12 November 2002
zbMATH: 1073.62553
MathSciNet: MR1936600
Digital Object Identifier: 10.1214/aoap/1037125870
Subjects:
Primary:
62M10
Secondary:
60G10
Keywords:
asymptotic behavior
,
fractional ARIMA process
,
partial autocorrelation function
Rights: Copyright © 2002 Institute of Mathematical Statistics
