Asymptotic Properties of Autoregressive Integrated Moving Average Processes.
Abstract
In this paper the author studies, the asymptotic behavior of so called autoregressive integrated moving average processes. It is shown that these processes are asymptotically normally distributed, and that their sample paths satisfy a law of the iterated logarithm. The author also establishes a law which determines the time spent by a sample path on one or the other side of the trend-line of such a process. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Aug 01, 1974
- Accession Number
- AD0787727
Entities
People
- Bernt P. Stigum
Organizations
- University of Wisconsin–Madison