The Asymptotic Distribution of the Sample Autocorrelations for an Integrated ARMA Process
研究了整合自回归移动平均时间序列的样本自相关函数的行为，刻画了其非正态渐近分布与滞后阶数和过程参数的关系，并检验了中等样本下近似的有效性。
Abstract The behavior of the sample autocorrelation function, r(k), for an integrated autoregressive moving average time series is examined. The nonnormal asymptotic distribution of r(k) is characterized as a function of lag k and the parameters of the process. The validity of the approximation in moderate-sized samples is examined.