Accession Number : AD0787727

Title :   Asymptotic Properties of Autoregressive Integrated Moving Average Processes.

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Stigum,Bernt P.

Report Date : AUG 1974

Pagination or Media Count : 48

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)

Descriptors :   *TIME SERIES ANALYSIS, *STOCHASTIC PROCESSES, RANDOM VARIABLES, NORMAL DENSITY FUNCTIONS, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE