The Autocorrelation Function of Seasonal ARMA Models.
Abstract
This note obtains the theoretical autocorrelation function of an Autoregressive Moving Average (ARMA) model with multiplicative seasonality. It is shown that this function can be interpretated as the result of the interaction between the seasonal and regular autocorrelation patterns of the ARMA model. The use of this result makes easier the identification of the structure of the model, is helpful in choosing between a multiplicative or additive seasonal component and leads to a better understanding of the properties of the estimated autocorrelation function of scalar ARMA processes. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1983
- Accession Number
- ADA137929
Entities
People
- D. Pena
Organizations
- University of Wisconsin–Madison