Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/18900

Title:	Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes
Authors:	Inoue, Akihiko Browse this author
Keywords:	Asymptotic behavior
	partial autocorrelation function
	fractional ARIMA process
Issue Date:	Nov-2002
Publisher:	Institute of Mathematical Statistics
Journal Title:	The Annals of Applied Probability
Volume:	12
Issue:	4
Start Page:	1471
End Page:	1491
Publisher DOI:	10.1214/aoap/1037125870
Abstract:	We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.
Type:	article (author version)
URI:	http://hdl.handle.net/2115/18900
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上昭彦

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