Accession Number : ADA137929

Title :   The Autocorrelation Function of Seasonal ARMA Models.

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Pena,D

PDF Url : ADA137929

Report Date : Dec 1983

Pagination or Media Count : 10

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)

Descriptors :   *Autocorrelation, *Mathematical models, Stationary, Time series analysis, Diagnosis(General), Functions(Mathematics)

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE