On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root

Chul Gyu Park, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In the autoregressive moving average (ARMA) model with one autoregressive unit root, limiting distribution of the residual autocorrelations depends only on parameters other than the parameter corresponding to the unit root and is the same as that in the corresponding stationary ARMA process. On the other hand, limiting distribution of the partial sum process of residuals does not depend on parameter other than the parameter corresponding to the unit root and is the same as that in AR(1) with autoregressive coefficient one.

Original languageEnglish
Pages (from-to)341-346
Number of pages6
JournalStatistics and Probability Letters
Volume27
Issue number4
DOIs
StatePublished - 1 May 1996

Keywords

  • ARMA process
  • Brownian motion
  • Nonstationary process
  • Partial sums of residuals
  • Residual autocorrelations

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