Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes

Authors
Akihiko Inoue
Citation
Akihiko Inoue, Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes, Annals of applied probability , 12(4), 2002, pp. 1471-1491
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
12
Issue
4
Year of publication
2002
Pages
1471 - 1491
Database
ACNP
SICI code
Abstract
We prove a simple asymptotic formula for partial autocorrelation functions of fractional ARIMA processes.