On the Asymptotic Behaviour of the Sample Autocovariance Function for an Integrated Moving Average Process

In this paper, we derive the first two asymptotic moments of the autocovariance function of a time series generated from an integrated moving average process of order (1,1). In particular, it is found that the expected value of the sample autocovariance at lag k is approximately proportional to the ... Ausführliche Beschreibung

1. Person: Roy, Roch
Quelle: in Biometrika : a journal for the statistical study of biological problems Vol. 64, No. 2 (1977), p. 419-421
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Format: Online-Artikel
Sprache: English
Veröffentlicht: 1977
Beschreibung: Online-Ressource
Schlagworte: research-article
Integrated moving average process
Model identification
Sample autocovariance
Time series analysis
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Anmerkung: Copyright: Copyright 1977 Biometrika Trust
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520 |a In this paper, we derive the first two asymptotic moments of the autocovariance function of a time series generated from an integrated moving average process of order (1,1). In particular, it is found that the expected value of the sample autocovariance at lag k is approximately proportional to the length of the series. This result suggests a method of checking whether a nonstationary time series can be described by an integrated moving average process of order (1,1) and its use is illustrated with a simulated series. 
653 |a research-article 
653 |a Integrated moving average process 
653 |a Model identification 
653 |a Sample autocovariance 
653 |a Time series analysis 
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