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