THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT

Autor:	David P. Hasza, V. A. Samaranayake
Rok vydání:	1987
Předmět:	Statistics and Probability Applied Mathematics Mathematical analysis Asymptotic distribution Matrix (mathematics) Unit circle Autoregressive model Sample size determination Statistics Almost surely Unit root Statistics Probability and Uncertainty Random matrix Mathematics
Zdroj:	Journal of Time Series Analysis. 8:79-93
ISSN:	1467-9892 0143-9782
DOI:	10.1111/j.1467-9892.1987.tb00422.x
Popis:	In this paper the large sample behaviour of the sample autocorrelation matrix Rn(h), (h being the lag, n the sample size), of a multivariate autoregressive time series with one of its characteristic roots equal to unity and the rest of the roots lying inside the unit circle is studied. It is shown that Rn(h) converges almost surely to a constant matrix. Further, the asymptotic distribution of Rn(h) is characterized as that of a random matrix which is a function of jointly normal random variables.
Databáze:	OpenAIRE
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