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| Author: | Anderson, O.D. |
| Title: | Small-sample autocorrelation structure for long-memory time series |
| Journal: | Journal of the Operational Research Society
1990 : AUG., VOL. 41:8, p. 735-754 |
| Index terms: | FORECASTING MATHEMATICAL MODELS SIMULATION STATISTICS TIME SERIES |
| Language: | eng |
| Abstract: | Results are provided on the behaviour of the sample auto-correlation for a model, that is, a process in which the differencing operator is replaced by a more general real polynomial, having each of its zeros anywhere on the unit circle, subject to the restraint that complex zeros occur in conjugate pairs. Various simulated series are considered, and it is found empirically that the observed sample auto-correlations are in close agreement with appropriate ratios of limiting serial covariance expectations. This agreement is better than that with the theoretical auto-correlations, in the nearly non-stationary case, or the limits of the theoretical auto-correlations, as the homogeneous non-stationary boundary is approached, in non-stationary case. |
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