Some Properties of Periodogram of Autoregressive Integrated Moving Average Process

被引：2

作者：

徐立霞 ^{[1
]}

刘次华 ^{[2
]}

机构：

[1] School of Economics, Nanjing University of Finance and Economics

[2] Department of Mathematics, Huazhong University of Science and Technology

来源：

Journal of Southwest Jiaotong University(English Edition) | 2008年 / 04期

关键词：

Nonstationary time series; Periodogram; ARIMA(p; q);

D O I：

暂无

中图分类号：

O212.1 [一般数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Based on the analysis of periodogram, this paper discussed the properties of periodogram of autoregressive integrated moving average process ARIMA(p,1,q), and found that the periodgram of ARIMA(p,1,q) process is dominated by the transfer function of the difference operator, which is the same as the result of Crato. The obtained asymptotically properties of the single random walk process was extended to more complicated autoregressive integrated moving average process.

引用

页码：414 / 418

页数：5

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