Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes

• 成果类型: Article
• 署名作者: Inoue, A
• 署名单位: Hokkaido University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 1471-1491

摘要

We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.